A general approach to Bayesian portfolio optimization

DOI10.1007/S00186-008-0271-4MaRDI QIDQ1040692zbMATH OpenOpenAlexFDO

Authors Alexander Bade, Gabriel Frahm, Uwe Jaekel

Publication date 25 November 2009

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/44948

zbMATH Keywords

Markov chain Monte Carlostylized factsGordin's condition

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
• Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
• Bayesian portfolio selection using VaR and CVaR
• scientific article; zbMATH DE number 3891035
• Bayesian estimation of the global minimum variance portfolio

Cites work

• scientific article; zbMATH DE number 1735137 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Generalized autoregressive conditional heteroscedasticity
• Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
• Markov chain Monte Carlo. Stochastic simulation for Bayesian inference.
• Monte Carlo sampling methods using Markov chains and their applications
• On the theory of elliptically contoured distributions
• Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
• Risk and asset allocation.
• The case for objective Bayesian analysis

Cited in

(22)

• Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
• scientific article; zbMATH DE number 4041566 (Why is no real title available?)
• Sparse portfolio selection via Bayesian multiple testing
• scientific article; zbMATH DE number 1859305 (Why is no real title available?)
• Bayesian portfolio selection using VaR and CVaR
• Bayesian inference for the tangent portfolio
• scientific article; zbMATH DE number 2127976 (Why is no real title available?)
• Portfolio selection based on Bayesian theory
• Bayesian adaptive portfolio optimization
• Mean-variance portfolios using Bayesian vector-autoregressive forcasts
• Optimal asset allocation with multivariate Bayesian dynamic linear models
• Bayesian inference of the multi-period optimal portfolio for an exponential utility
• Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
• Portfolio choice and the Bayesian Kelly criterion
• Bayesian portfolio optimization for electricity generation planning
• Regularizing portfolio risk analysis: a Bayesian approach
• Bayesian emulation for multi-step optimization in decision problems
• Bayesian learning for the Markowitz portfolio selection problem
• A theoretical foundation of portfolio resampling
• BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
• Multiple tests for the performance of different investment strategies

This page was built for publication: A general approach to Bayesian portfolio optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1040692)