Optimal asset allocation with multivariate Bayesian dynamic linear models

DOI10.1214/19-AOAS1303MaRDI QIDQ2179969zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asset allocationmultivariate Bayesian dynamic linear model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

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Cites work

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• GPU-accelerated Bayesian learning and forecasting in simultaneous graphical dynamic linear models
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Optimal prediction pools
• Predictability of stock returns and asset allocation under structural breaks
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Some matrix-variate distribution theory: Notational considerations and a Bayesian application
• Strategic asset allocation
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Time-varying combinations of predictive densities using nonlinear filtering

Cited in

(6)

• Multivariate DLMs for forecasting financial time series, with application to the management of portfolios
• Integrating prediction in mean-variance portfolio optimization
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Mean-variance portfolios using Bayesian vector-autoregressive forcasts
• Variational Inference for Large Bayesian Vector Autoregressions
• scientific article; zbMATH DE number 2127976 (Why is no real title available?)

Describes a project that uses

Uses Software

• rSGDLM
• bvarsv

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