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On the State Variables for Optimal Portfolio Strategies in the Japanese Market

In: Recent Advances In Financial Engineering 2010

Author

Listed:
  • Shoji Kamimura

    (International School of Economics and Business Administration, Reitaku University, 2-1-1, Hikarigaoka, Kashiwa-shi, Chiba-ken, 277-8686, Japan)

Abstract

In this paper we study conditional portfolio optimization problems when the conditional moments of returns are predictable. Our purpose is to investigate which state variables are statistically significant for the portfolio strategy in the Japanese market. By parametrizing the portfolio strategy, we transform the conditional problem into the unconditional problem and formulate the problem as a statistical estimation problem. This helps us determine the state variables which we should focus on.

Suggested Citation

  • Shoji Kamimura, 2011. "On the State Variables for Optimal Portfolio Strategies in the Japanese Market," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 6, pages 105-117, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814366038_0006
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