{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,4,1]],"date-time":"2025-04-01T14:32:32Z","timestamp":1743517952322,"version":"3.40.3"},"reference-count":11,"publisher":"Scientific and Business World","license":[{"start":{"date-parts":[[2012,1,26]],"date-time":"2012-01-26T00:00:00Z","timestamp":1327536000000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"funder":[{"name":"Government Pension Investment Fund"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Advances in Decision Sciences"],"published-print":{"date-parts":[[2012,1,26]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1155\/2012\/703465","type":"journal-article","created":{"date-parts":[[2012,1,26]],"date-time":"2012-01-26T21:01:43Z","timestamp":1327611703000},"page":"1-13","source":"Crossref","is-referenced-by-count":0,"title":["Optimal Portfolios with End-of-Period Target"],"prefix":"10.47654","volume":"2012","author":[{"given":"Hiroshi","family":"Shiraishi","sequence":"first","affiliation":[{"name":"The Jikei University School of Medicine, Tokyo 1828570, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Hiroaki","family":"Ogata","sequence":"additional","affiliation":[{"name":"School of International Liberal Studies, Waseda University, Tokyo 1698050, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Tomoyuki","family":"Amano","sequence":"additional","affiliation":[{"name":"Faculty of Economics, Wakayama University, Wakayama 6408510, Japan"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Valentin","family":"Patilea","sequence":"additional","affiliation":[{"name":"CREST, Ecole Nationale de la Statistique et de l'Analyse de l'Information, France"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"David","family":"Veredas","sequence":"additional","affiliation":[{"name":"ECARES, Solvay Brussels School of Economics and Management, Universit\u00e9 libre de Bruxelles, CP114\/04, Avenue F.D. 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