scientific article
From MaRDI portal
Publication:3861108
zbMath0425.90001MaRDI QIDQ3861108
Roger W. Klein, Vijay S. Bawa, Stephen J. Brown
Publication date: 1979
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bayesian problems; characterization of Bayes procedures (62C10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Trade models (91B60) Statistical methods; economic indices and measures (91B82) Operations research and management science (90B99) Portfolio theory (91G10)
Related Items (37)
Portfolio optimisation using constrained hierarchical bayes models ⋮ Decisionmetrics: a decision-based approach to econometric modelling ⋮ Asymptotic properties of Monte Carlo estimators of diffusion processes ⋮ Some aspects of the history of Bayesian information processing ⋮ Predictable returns and asset allocation: should a skeptical investor time the market? ⋮ Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process ⋮ Bayesian panel data analysis for exploring the impact of subprime financial crisis on the US stock market ⋮ Strategic asset allocation ⋮ Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty ⋮ Optimality and robustness of a minimax portfolio ⋮ Long-term dynamic asset allocation under asymmetric risk preferences ⋮ Optimality criteria for comparing efficient portfolios ⋮ Optimal Portfolio Diversification Using the Maximum Entropy Principle ⋮ An interior-point method for a class of saddle-point problems ⋮ Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments ⋮ Modified chance constrained linear programming under uncertainty ⋮ Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace ⋮ BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO ⋮ The Strategic Uses of Value at Risk ⋮ Bayesian estimation of the global minimum variance portfolio ⋮ Mixed strategy and information theory in optimal portfolio choice ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Portfolio selection with probabilistic utility ⋮ Robust hedging strategies ⋮ A discussion of parameter and model uncertainty in insurance ⋮ A theory of portfolio revision: robustness and truncation problems ⋮ Comparison and robustification of Bayes and Black-Litterman models ⋮ Robust portfolios: contributions from operations research and finance ⋮ Log-robust portfolio management with parameter ambiguity ⋮ Correlation structure forecasting \& ex ante portfolio selection strategies in the Japan market ⋮ Portfolio selection based on Bayesian theory ⋮ Bayesian analysis in econometrics ⋮ Analytic efficient solution set for multi-criteria quadratic programs ⋮ Strategic financial risk management and operations research ⋮ A dynamic view of the portfolio efficiency frontier ⋮ Optimal portfolio selection ⋮ Optimization in decision analysis, marketing and financial investments
This page was built for publication: