Portfolio optimisation using constrained hierarchical bayes models

DOI10.1080/24754269.2017.1347310MaRDI QIDQ5880169zbMATH OpenOpenAlexFDO

Authors Jiangyong Yin, Xinyi Xu

Publication date 7 March 2023

Published in Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/24754269.2017.1347310

zbMATH Keywords

Bayesian hierarchical modelsportfolio choicesparameter constrains

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 3662819 (Why is no real title available?)
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Empirical Bayes vs. fully Bayes variable selection
• Estimation of a covariance matrix using the reference prior
• Generalized Inverse Gaussian Distributions and their Wishart Connections
• Mixtures of g Priors for Bayesian Variable Selection
• Model uncertainty
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean
• Sparse and stable Markowitz portfolios
• The horseshoe estimator for sparse signals

Cited in

(4)

• Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency
• scientific article; zbMATH DE number 2127976 (Why is no real title available?)
• Optimal asset allocation with multivariate Bayesian dynamic linear models
• Bayesian adaptive portfolio optimization

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