A Bayesian information criterion for portfolio selection

DOI10.1016/J.CSDA.2011.06.012zbMATH Open1241.91142OpenAlexW3124534748MaRDI QIDQ429627FDOQ429627

Authors: Chih-Ling Tsai, Wei Lan, Hansheng Wang 

Publication date: 20 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.012

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zbMATH Keywords

selection consistencyportfolio selectionBayesian information criterionminimal variance portfoliorisk diversification

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Estimating the dimension of a model
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
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• High dimensional covariance matrix estimation using a factor model
• Covariance regularization by thresholding
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
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• Adaptive Regression by Mixing
• Generalized thresholding of large covariance matrices
• Forward regression for ultra-high dimensional variable screening
• A Test of the Efficiency of a Given Portfolio
• On BIC's selection consistency for discriminant analysis

Cited In (9)

• Portfolio optimization based on generalized information theoretic measures
• Portfolio selection based on Bayesian theory
• Portfolio selection: shrinking the time-varying inverse conditional covariance matrix
• Portfolio selection based on semivariance and distance correlation under minimum variance framework
• Portfolio choice and the Bayesian Kelly criterion
• Portfolio selection under independent possibilistic information
• Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions
• Sparse portfolio selection via Bayesian multiple testing
• Title not available (Why is that?)

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