A general approach to Bayesian portfolio optimization
DOI10.1007/S00186-008-0271-4zbMATH Open1175.62111OpenAlexW3122317977MaRDI QIDQ1040692FDOQ1040692
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
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Cited In (22)
- Bayesian inference for the tangent portfolio
- Multiple tests for the performance of different investment strategies
- Bayesian portfolio optimization for electricity generation planning
- Bayesian learning for the Markowitz portfolio selection problem
- Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
- BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
- Title not available (Why is that?)
- Portfolio selection based on Bayesian theory
- Mean-variance portfolios using Bayesian vector-autoregressive forcasts
- Bayesian portfolio selection using VaR and CVaR
- Bayesian inference of the multi-period optimal portfolio for an exponential utility
- Portfolio choice and the Bayesian Kelly criterion
- Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
- Title not available (Why is that?)
- Sparse portfolio selection via Bayesian multiple testing
- Optimal asset allocation with multivariate Bayesian dynamic linear models
- A theoretical foundation of portfolio resampling
- Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
- Bayesian emulation for multi-step optimization in decision problems
- Bayesian adaptive portfolio optimization
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- Regularizing portfolio risk analysis: a Bayesian approach
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