A Bayesian Approach for Asset Allocation

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...

15 صفحه اول

Asset Allocation in Finance: A Bayesian Perspective

In this paper, we survey asset allocation in finance from a Bayesian decisiontheoretic perspective. Our investor wishes to maximize the expected long-run growth of the market returns. We show how Stein’s lemma helps deriving the Kelly criteria for optimal bet size and Merton’s allocation rule for risky stocks. We therefore provide an equivalence between these two criteria. Bayesian inference na...

متن کامل

Discovering Bayesian Market Views for Intelligent Asset Allocation

Along with the advance of opinion mining techniques, public mood has been found to be a key element for stock market prediction. However, in what manner the market participants are affected by public mood has been rarely discussed. As a result, there has been little progress in leveraging public mood for the asset allocation problem, as the application is preferred in a trusted and interpretabl...

متن کامل

An Evolutionary Approach to Multiperiod Asset Allocation

Portfolio construction can become a very complicated problem, as regulatory constraints, individual investor’s requirements, nontrivial indices of risk and subjective quality measures are taken into account, together with multiple investment horizons and cash-flow planning. This problem is approached using a tree of possible scenarios for the future, and an evolutionary algorithm is used to opt...

متن کامل

Correlation Timing in Asset Allocation with Bayesian Learning

This paper assesses the relative economic value of volatility and correlation timing in the context of asset allocation strategies. Using exchange rate data, we model the dynamic covariance matrix of daily returns by implementing a set of multivariate models based on Dynamic Conditional Correlation (DCC) model of Engle (2002). Our analysis takes a Bayesian approach in both estimation and asset ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: International Journal of Statistics and Probability

سال: 2020

ISSN: 1927-7040,1927-7032

DOI: 10.5539/ijsp.v9n4p1