Optimal asset allocation with multivariate Bayesian dynamic linear models
DOI10.1214/19-AOAS1303zbMATH Open1439.62245OpenAlexW2907590904MaRDI QIDQ2179969FDOQ2179969
Authors: Jared D. Fisher, Davide Pettenuzzo, Carlos M. Carvalho 
Publication date: 13 May 2020
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoas/1587002676
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Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)
Cites Work
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- GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models
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- Some matrix-variate distribution theory: Notational considerations and a Bayesian application
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- Time-varying combinations of predictive densities using nonlinear filtering
- Predictability of stock returns and asset allocation under structural breaks
- Optimal prediction pools
- Strategic asset allocation
- Predictable returns and asset allocation: should a skeptical investor time the market?
- Bayesian compressed vector autoregressions
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Cited In (6)
- Multivariate DLMs for forecasting financial time series, with application to the management of portfolios
- Integrating prediction in mean-variance portfolio optimization
- Mean-variance portfolios using Bayesian vector-autoregressive forcasts
- Predictable returns and asset allocation: should a skeptical investor time the market?
- Variational Inference for Large Bayesian Vector Autoregressions
- Title not available (Why is that?)
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