Bayesian portfolio selection with multi-variate random variance models
نویسندگان
چکیده
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 preposterior analysis by a surface fitting based optimization approach. We provide examples to illustrate the implementation of our approach. 2005 Elsevier B.V. All rights reserved.
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عنوان ژورنال:
- European Journal of Operational Research
دوره 171 شماره
صفحات -
تاریخ انتشار 2006