Bayesian estimation of the global minimum variance portfolio

DOI10.1016/j.ejor.2016.05.044zbMath1395.91395MaRDI QIDQ1752196

Taras Bodnar, Yarema Okhrin, Stepan Mazur

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://lup.lub.lu.se/record/8052712

zbMATH Keywords

posterior distribution; Wishart distribution; global minimum variance portfolio; credible interval

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91G10: Portfolio theory

Uses Software

• bootlib