Bayesian portfolio selection with multi-variate random variance models
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian Vector Autoregressions with Stochastic Volatility
- Bayesian portfolio selection with multi-variate random variance models
- Generalized autoregressive conditional heteroscedasticity
- Monte Carlo posterior integration in GARCH models
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Cited in
(30)- scientific article; zbMATH DE number 3891035 (Why is no real title available?)
- scientific article; zbMATH DE number 4041566 (Why is no real title available?)
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
- A discontinuous mispricing model under asymmetric information
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
- Optimal asset allocation with multivariate Bayesian dynamic linear models
- Bayesian inference of the multi-period optimal portfolio for an exponential utility
- Bayesian variable selection and model averaging in the arbitrage pricing theory model
- A simulation approach to statistical estimation of multiperiod optimal portfolios
- Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach
- Multi-period power utility optimization under stock return predictability
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- An application of a minimax Bayes rule and shrinkage estimators to the portfolio selection problem under the Bayesian approach
- Comment on article by Windle and Carvalho
- Real-time covariance estimation for the local level model
- Bayesian portfolio selection with multi-variate random variance models
- Bayesian portfolio optimization for electricity generation planning
- Bayesian filtering for multi-period mean-variance portfolio selection
- Bayesian emulation for multi-step optimization in decision problems
- A mispricing model of stocks under asymmetric information
- Bayesian variable selection in generalized linear models using a combination of stochastic optimization methods
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
- BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Portfolio selection using \(\lambda\) mean and hybrid entropy
- Optimal strategies for selecting project portfolios using uncertain value estimates
- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- Multi-variate stochastic volatility modelling using Wishart autoregressive processes
- Time-varying vector autoregressive models with stochastic volatility
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