Optimal Portfolios with End-of-Period Target

We study the estimation of optimal portfolios for a Reserve Fund with an endof-period target, and when the returns of the assets that constitute the Reserve Fund portfolio follow two specifications. In the first one assets are split into short memory (bonds) and long memory (equity), and the optimality of the portfolio is based on maximizing the Sharpe ratio. In the second returns follow a conditional heteroskedasticity autoregressive nonlinear model and we study when the distribution of the innovation vector is heavy-tailed stable. For this specification we consider appropriate estimation methods, which include bootstrap and empirical likelihood. 1Jikei University School of Medicine, Japan; email: [email protected] 2School of Business Administration, Faculty of Urban Liberal Arts, Tokyo Metropolitan University, Japan; email: h [email protected] 3Department of Applied Mathematics, School of Fundamental Science and Engineering, Waseda University, Japan; email: [email protected] 4***, ***, ***, France; email: [email protected] 5ECARES, Solvay Brussels School of Economics and Management, Université libre de Bruxelles, Belgium; email: [email protected] 6Department of Applied Mathematics, School of Fundamental Science and Engineering, Waseda University, Japan; email: [email protected]