Portfolio selection based on Bayesian theory

DOI10.1155/2019/4246903zbMATH Open1435.91177OpenAlexW2980744127WikidataQ126981035 ScholiaQ126981035MaRDI QIDQ2298422FDOQ2298422

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)

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

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• scientific article; zbMATH DE number 3891035

Mathematics Subject Classification ID

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

Cites Work

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• Monte Carlo sampling methods using Markov chains and their applications
• A dynamic stochastic programming model for international portfolio management
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• Mean-variance portfolio optimization when means and covariances are unknown
• 60 years of portfolio optimization: practical challenges and current trends
• The Role of Learning in Dynamic Portfolio Decisions *
• Dynamic models for fixed-income portfolio management under uncertainty
• Semi-absolute deviation rule for mutual funds portfolio selection
• A Property of Randomness of an Arithmetical Function
• Bayes Smoothing Algorithms for Segmentation of Binary Images Modeled by Markov Random Fields

Cited In (7)

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

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