Distributions of the Weights of Sample Optimal Portfolios in Multivariate Conditionally Heteroscedastic Elliptical Models
نویسنده
چکیده
In the paper the asymptotic distributions of sample optimal portfolio weights are derived. This is done under the weak assumption on the data generating process. It is assumed that the k -dimensional vector of asset returns follows a VARMA( 1 1 , p q )GARCH( 2 2 , p q ) process with the elliptically distributed error process. The estimators of the mean vector and the covariance matrix of the asset returns are suggested that are asymptotic independent normally distributed. The consistency of the quasi-maximum likelihood estimator for the parameters of the VARMA-GARCH process is established.
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