Bayesian inference for the tangent portfolio

DOI10.1142/S0219024918500541MaRDI QIDQ4645332zbMATH OpenOpenAlexWikidataFDO

Authors David Bauder, Taras Bodnar, Stepan Mazur, Yarema Okhrin

Publication date 10 January 2019

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500541

zbMATH Keywords

asset allocationBayesian analysisdiffuse and conjugate priorsstochastic representationtangent portfolio

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• Asymptotic theory of statistics and probability
• Bayesian estimation of the global minimum variance portfolio
• Elliptically contoured models in statistics and portfolio theory
• Estimation of the global minimum variance portfolio in high dimensions
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• Multivariate T-Distributions and Their Applications
• On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory

Cited in

(12)

• Bayesian estimation of the global minimum variance portfolio
• On the mean and variance of the estimated tangency portfolio weights for small samples
• Bayesian inference of the multi-period optimal portfolio for an exponential utility
• BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
• Discriminant analysis in small and large dimensions
• Statistical inference for the tangency portfolio in high dimension
• Higher order moments of the estimated tangency portfolio weights
• Distribution of the product of a Wishart matrix and a normal vector
• Product of a Wishart matrix and the conditionally elliptical random vector and its application to an elliptical regression model
• Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection
• A test on the location of tangency portfolio for small sample size and singular covariance matrix

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