The portfolio choice problem: comparison of certainty equivalence and optimal Bayes portfolios

DOI10.1080/03610917808812081zbMath0393.62003OpenAlexW2051769598MaRDI QIDQ4176280

Stephen J. Brown

Publication date: 1978

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610917808812081

zbMATH Keywords

ComparisonRisk FunctionCertainty EquivalenceDiffuse PriorOptimal Bayes FortfoliosPortfolio Choice ProblemPredictive DistributionSecurity ReturnsSingle Risky Asset

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10)

Related Items (8)

A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection ⋮ Long-term dynamic asset allocation under asymmetric risk preferences ⋮ Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace ⋮ Portfolio selection with higher moments ⋮ Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown ⋮ Robust portfolios: contributions from operations research and finance ⋮ Bayesian analysis in econometrics ⋮ ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY

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