Portfolio selection based on Bayesian theory

DOI10.1155/2019/4246903MaRDI QIDQ2298422zbMATH OpenOpenAlexWikidataFDO

Authors Daping Zhao, Yong Fang, Chaoliang Zhang, Zongrun Wang

Publication date 20 February 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/4246903

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3662819 (Why is no real title available?)
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• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
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• Semi-absolute deviation rule for mutual funds portfolio selection
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Cited in

(7)

• Sparse portfolio selection via Bayesian multiple testing
• A Bayesian information criterion for portfolio selection
• Bayesian adaptive portfolio optimization
• Time-varying portfolio selection based on DCC-MIDAS and parametric scheme
• Portfolio choice and the Bayesian Kelly criterion
• Bayesian filtering for multi-period mean-variance portfolio selection
• Portfolio selection model based on POET method

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