Mean-variance portfolios using Bayesian vector-autoregressive forcasts

DOI10.1007/S00362-006-0344-5zbMATH Open1125.62109OpenAlexW2002717522MaRDI QIDQ2457772FDOQ2457772

Authors: Wolfgang Gohout, Katja Specht 

Publication date: 23 October 2007

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-006-0344-5

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Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Augmented GARCH\((p,q)\) process and its diffusion limit
• Title not available (Why is that?)
• Risk Aversion in the Small and in the Large

Cited In (7)

• Title not available (Why is that?)
• Bayesian filtering for multi-period mean-variance portfolio selection
• Portfolio selection: shrinking the time-varying inverse conditional covariance matrix
• Sequential monitoring of minimum variance portfolio
• Forecasting global equity indices using large Bayesian VARs
• Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices
• On the application of new tests for structural changes on global minimum-variance portfolios

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