- Seminars
- Diego Ronchetti (University of Groningen) on "Consistent estimation of optimized functions for the analysis of portfolio strategies"
Diego Ronchetti (University of Groningen) on "Consistent estimation of optimized functions for the analysis of portfolio strategies"
Speaker
Diego Ronchetti - University of Groningen
Date
Nov 7, 2018 - Time:
12:00
Polo Santa Marta, Via Cantarane 24, Sala Vaona
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.
- Data pubblicazione
- Aug 24, 2018
- Contact person
- Roberto Renò
- Department
- Economics