Portfolio optimisation using constrained hierarchical bayes models

DOI10.1080/24754269.2017.1347310OpenAlexW2769172681MaRDI QIDQ5880169FDOQ5880169

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

• The horseshoe estimator for sparse signals
• Model uncertainty
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Mixtures of g Priors for Bayesian Variable Selection
• Estimation of a covariance matrix using the reference prior
• Empirical Bayes vs. fully Bayes variable selection
• Title not available (Why is that?)
• Sparse and stable Markowitz portfolios
• Generalized Inverse Gaussian Distributions and their Wishart Connections
• Proper Bayes Minimax Estimators of the Multivariate Normal Mean

Cited In (4)

• Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency
• Title not available (Why is that?)
• Optimal asset allocation with multivariate Bayesian dynamic linear models
• Bayesian adaptive portfolio optimization

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