Mean-variance portfolios using Bayesian vector-autoregressive forcasts
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Publication:2457772
DOI10.1007/s00362-006-0344-5zbMath1125.62109OpenAlexW2002717522MaRDI QIDQ2457772
Publication date: 23 October 2007
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-006-0344-5
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)
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