Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
نویسندگان
چکیده
منابع مشابه
Portfolio Selection with Parameter and Model Uncertainty ∗
In this paper, we extend the mean-variance portfolio model to explicitly account for uncertainty about the estimated expected returns and/or the underlying return-generating model. We do this by first imposing an additional constraint on the mean-variance portfolio optimization program that restricts each parameter to lie within a specified confidence interval of its estimated value, and then b...
متن کاملGrowth-Optimal Portfolio Selection under CVaR Constraints
Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning of portfolios of stocks whose prices are governed by arbitrary (unknown) stationary and ergodic processes, where the goal is to maximize wealth while keeping ...
متن کاملRobustness-based portfolio optimization under epistemic uncertainty
In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...
متن کاملOptimal Portfolio Series Formula under Dynamic Appreciation Rate Uncertainty
A closed-form series solution formula for the problem of optimal portfolio diversification under dynamic (possibly, long-term-memory) appreciation rate uncertainty, for an investor with HARA utility, is discovered. To that end a calculus of variations method, recently introduced by the author, was extended. The usefulness of the obtained result is examined by means of solving a few guiding exam...
متن کاملPortfolio selection under distributional uncertainty: A relative robust CVaR approach
Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the underlying probability distribution of portfolio return is only known to belong to a certain set. Our ap...
متن کاملذخیره 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: Quantitative Finance
سال: 2020
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2020.1748214