Bayesian inference of the multi-period optimal portfolio for an exponential utility
DOI10.1016/j.jmva.2019.104544zbMath1435.62104arXiv1705.06533OpenAlexW2973143466WikidataQ115570108 ScholiaQ115570108MaRDI QIDQ2293380
Taras Bodnar, David Bauder, Nestor Parolya, Wolfgang Schmid
Publication date: 5 February 2020
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.06533
stochastic representationBayesian estimationposterior predictive distributioncredible setsmulti-period optimal portfolio
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Exact distribution theory in statistics (62E15) Microeconomic theory (price theory and economic markets) (91B24)
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