Bayesian inference of the multi-period optimal portfolio for an exponential utility (Q2293380)

The paper consider a very interesting problem -- the multi-period optimal portfolio for an exponential utility. The stochastic representations for the optimal portfolio weights under both priors are presented which are used to derive the corresponding estimates for the weights together with covariance matrix as well as to prove the posterior asymptotic normality. In empirical study twelve stocks are examined, namely, Barclays, Glaxo Smith Kline, Standard Life, Marks and Spencer, Burberry Group plc, HSBC, Lloyds Banking, NEXT plc, Rolls-Royce Holding, The Sage Group, Tesco plc. and Unilever. The paper describes the behaviour of them.