A general approach to Bayesian portfolio optimization
نویسندگان
چکیده
منابع مشابه
A general approach to Bayesian portfolio optimization
We develop a general approach to portfolio optimization taking account of estimation risk and stylized facts of empirical finance. This is done within a Bayesian framework. The approximation of the posterior distribution of the unknown model parameters is based on a parallel tempering algorithm. The portfolio optimization is done using the first two moments of the predictive discrete asset retu...
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ژورنال
عنوان ژورنال: Mathematical Methods of Operations Research
سال: 2008
ISSN: 1432-2994,1432-5217
DOI: 10.1007/s00186-008-0271-4