Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
DOI10.1080/14697688.2020.1748214zbMath1466.91277arXiv1803.03573OpenAlexW3024688460MaRDI QIDQ4991069
Nestor Parolya, Wolfgang Schmid, Taras Bodnar, David Bauder
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.03573
stochastic representationparameter uncertaintyoptimal portfolioefficient frontierposterior predictive distributionBlack-Litterman model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Portfolio theory (91G10)
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