Mean-variance portfolios using Bayesian vector-autoregressive forcasts

DOI10.1007/S00362-006-0344-5MaRDI QIDQ2457772zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Augmented GARCH\((p,q)\) process and its diffusion limit
• Risk Aversion in the Small and in the Large

Cited in

(7)

• scientific article; zbMATH DE number 1859305 (Why is no real title available?)
• Sequential monitoring of minimum variance portfolio
• Portfolio selection: shrinking the time-varying inverse conditional covariance matrix
• On the application of new tests for structural changes on global minimum-variance portfolios
• Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices
• Bayesian filtering for multi-period mean-variance portfolio selection
• Forecasting global equity indices using large Bayesian VARs

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