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

zbMATH Keywords

stochastic representationBayesian estimationposterior predictive distributioncredible setsmulti-period optimal portfolio

Mathematics Subject Classification ID

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)

Related Items (3)

Bayesian portfolio selection using VaR and CVaR ⋮ Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty ⋮ Bayesian filtering for multi-period mean-variance portfolio selection

Uses Software

• BayesDA

Cites Work

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