A Bayesian information criterion for portfolio selection

DOI10.1016/J.CSDA.2011.06.012MaRDI QIDQ429627zbMATH OpenOpenAlexFDO

Authors Chih-Ling Tsai, Wei Lan, Hansheng Wang

Publication date 20 June 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2011.06.012

zbMATH Keywords

selection consistencyportfolio selectionBayesian information criterionminimal variance portfoliorisk diversification

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1219611 (Why is no real title available?)
• scientific article; zbMATH DE number 1034037 (Why is no real title available?)
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• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• A Test of the Efficiency of a Given Portfolio
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Adaptive Regression by Mixing
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• Covariance regularization by thresholding
• Estimating the dimension of a model
• Forward regression for ultra-high dimensional variable screening
• Generalized thresholding of large covariance matrices
• High dimensional covariance matrix estimation using a factor model
• On BIC's selection consistency for discriminant analysis

Cited in

(9)

• Sparse portfolio selection via Bayesian multiple testing
• scientific article; zbMATH DE number 2042818 (Why is no real title available?)
• Portfolio selection based on semivariance and distance correlation under minimum variance framework
• Portfolio selection based on Bayesian theory
• Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions
• Portfolio selection: shrinking the time-varying inverse conditional covariance matrix
• Portfolio choice and the Bayesian Kelly criterion
• Portfolio selection under independent possibilistic information
• Portfolio optimization based on generalized information theoretic measures

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