Mean-variance portfolios using Bayesian vector-autoregressive forcasts
From MaRDI portal
Publication:2457772
DOI10.1007/s00362-006-0344-5zbMath1125.62109MaRDI QIDQ2457772
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
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
Related Items
On the application of new tests for structural changes on global minimum-variance portfolios, Portfolio selection: shrinking the time-varying inverse conditional covariance matrix, Sequential monitoring of minimum variance portfolio
Cites Work