statistical portfolio estimation under the utility function depending on exogenous variables统计组合效用函数下估计取决于外生变量.pdfVIP

Hindawi Publishing Corporation Advances in Decision Sciences Volume 2012, Article ID 127571, 15 pages doi:10.1155/2012/127571 Research Article Statistical Portfolio Estimation under the Utility Function Depending on Exogenous Variables Kenta Hamada, Dong Wei Ye, and Masanobu Taniguchi Department of Applied Mathematics, School of Fundamental Science and Engineering, Waseda University, Tokyo 169-8050, Japan Correspondence should be addressed to Masanobu Taniguchi, taniguchi@waseda.jp Received 8 September 2011; Accepted 15 November 2011