header
Main Menu
Home
Working Papers
Calendario
FAQ
Calendario
See Today
UpComing this month
Previous month Previous day
Next day Next month

Diego Ronchetti (University of Groningen) Print
Wednesday, 07 November 2018, 12:00 - 13:00

Diego Ronchetti (University of Groningen)

Title: "Consistent estimation of optimized functions for the analysis of portfolio strategies"

Abstract: I propose a nonparametric econometric method for the consistent estimation of measures of unhedgeable risks and the values for the structural parameters that cap them at reference levels. Each measure is a solution of a dynamic stochastic optimization problem. The estimation method is a kernel-based estimation technique to match (non-linear) functionals of the probability density function of the state variables with reference levels. I illustrate the method in the estimation of the minimal endowments and costs for trade execution that bound the degree of incompleteness of a financial market featuring unspanned stochastic volatility of the asset returns. I describe the asymptotic properties of the estimators for a large time series, and how to study their finite sample properties in a Markovian setting through a resampling method.

 

Time: 12:00 - 13:00

Location: Polo Santa Marta, Via Cantarane 24, Sala Vaona 

 

Back

Area riservata: GIA | sito d'ateneo | Aule | E-learning | Esami | Pubblicazioni | sito DSE | @univr.it | FilesenderVPN | Prestito libri | Cedolino / CUD | Missioni | Acquisti | Intranet | Contabilità | Timbrature | Protocollo | Banca | Telefoni
Problemi? Guide UniVR | Supporto | Forum | FAQ