Bayesian portfolio selection with multi-variate random variance models
نویسندگان
چکیده
منابع مشابه
Bayesian portfolio selection with multi-variate random variance models
We consider multi-period portfolio selection problems for a decision maker with a specified utility function when the variance of security returns is described by a discrete time stochastic model. The solution of these problems involves a dynamic programming formulation and backward induction. We present a simulation-based method to solve these problems adopting an approach which replaces the p...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2006
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2005.01.012