Bayesian portfolio selection using VaR and CVaR (Q2141202)
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scientific article; zbMATH DE number 7531259
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Bayesian portfolio selection using VaR and CVaR |
scientific article; zbMATH DE number 7531259 |
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Bayesian portfolio selection using VaR and CVaR (English)
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23 May 2022
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Bayesian inference
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posterior predictive distribution
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optimal portfolio
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VaR
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CVaR
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0.8386855721473694
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0.834104061126709
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0.826932966709137
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0.8209294676780701
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