Table of Contents
Advances in Decision Sciences
Volume 2012, Article ID 703465, 13 pages
Research Article

Optimal Portfolios with End-of-Period Target

1The Jikei University School of Medicine, Tokyo 1828570, Japan
2School of International Liberal Studies, Waseda University, Tokyo 1698050, Japan
3Faculty of Economics, Wakayama University, Wakayama 6408510, Japan
4CREST, Ecole Nationale de la Statistique et de l'Analyse de l'Information, France
5ECARES, Solvay Brussels School of Economics and Management, Université libre de Bruxelles, CP114/04, Avenue F.D. Roosevelt 50, 1050, Brussels, Belgium
6Department of Applied Mathematics, School of Fundamental Science and Engineering, Waseda University, Tokyo 1698555, Japan

Received 7 November 2011; Accepted 22 December 2011

Academic Editor: Junichi Hirukawa

Copyright © 2012 Hiroshi Shiraishi et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We study the estimation of optimal portfolios for a Reserve Fund with an end-of-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.