Bayesian adaptive portfolio optimization
From MaRDI portal
Recommendations
- A general approach to Bayesian portfolio optimization
- Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
- Portfolio optimisation using constrained hierarchical bayes models
- Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
- Bayesian learning for the Markowitz portfolio selection problem
- Portfolio selection based on Bayesian theory
- Probabilistic optimization with application to portofolio selection
- Portfolio choice and the Bayesian Kelly criterion
Cited in
(53)- A bounded risk strategy for a market with non-observable parameters.
- Optimal investment in ambiguous financial markets with learning
- A closed form solution for optimal dynamic portfolio problems
- Bayesian learning for the Markowitz portfolio selection problem
- Trading against disorderly liquidation of a large position under asymmetric information and market impact
- Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
- Duality in optimal consumption-investment problems with alternative data
- Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
- Maximizing the probability of a perfect hedge
- Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
- Portfolio optimization with unobservable Markov-modulated drift process
- Terminal wealth maximization under drift uncertainty
- Challenging the robustness of optimal portfolio investment with moving average-based strategies
- BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Utility maximization with convex constraints and partial information
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- On Bayesian value at risk: from linear to non-linear portfolios
- Bayesian adaptive portfolio optimization for DC pension plans
- Bayesian filtering for multi-period mean-variance portfolio selection
- A generalized Cameron-Martin formula with applications to partially observed dynamic portfolio optimization.
- Dividend maximization in a hidden Markov switching model
- Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift
- Optimal selling of an asset under incomplete information
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Performance analysis of the optimal strategy under partial information
- American options and incomplete information
- Bayesian inference of the multi-period optimal portfolio for an exponential utility
- A benchmark approach to portfolio optimization under partial information
- Non-linear filtering and optimal investment under partial information for stochastic volatility models
- Optimal portfolio in partially observed stochastic volatility models.
- Portfolio choice and the Bayesian Kelly criterion
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- On a problem of optimal stochastic control with incomplete information
- Conservative delta hedging.
- Optimal retirement planning under partial information
- The asymptotic behavior of optimal portfolio strategies based on general utility with drift rate and volatility following distribution uncertainty
- Optimal investment and consumption strategies for pooled annuity with partial information
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Extremal behavior of long-term investors with power utility
- An empirical bayes adaptive price search∗
- Optimal asset allocation with multivariate Bayesian dynamic linear models
- Exponential utility maximization under partial information
- Linear filtering of systems with memory and application to finance
- EMA-type trading strategies maximize utility under partial information
- Learning and portfolio decisions for CRRA investors
- A Bayesian approach for optimal reinsurance and investment in a diffusion model
- Portfolio selection under incomplete information
- Power utility maximization under partial information: some convergence results
- Optimal adaptive control with separable drift uncertainty
- Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
- Optimal portfolio and certainty equivalence estimator for the appreciation rate
This page was built for publication: Bayesian adaptive portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2771118)
