Portfolio selection for individual passive investing

DOI10.1002/ASMB.2483MaRDI QIDQ6576824zbMATH OpenWikidataFDO

Authors David W. Puelz, P. Richard Hahn, Carlos M. Carvalho

Publication date 23 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2483

zbMATH Keywords

Bayesian methodsdecision theorymodel selectionportfolio selection

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• AN ONLINE PORTFOLIO SELECTION ALGORITHM WITH REGRET LOGARITHMIC IN PRICE VARIATION
• Decoupling shrinkage and selection in Bayesian linear models: a posterior summary perspective
• Dynamic dependence networks: financial time series forecasting and portfolio decisions
• Dynamic financial index models: modeling conditional dependencies via graphs
• Dynamic matrix-variate graphical models
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Optimal portfolio choice and stochastic volatility
• Variable selection in seemingly unrelated regressions with random predictors

Cited in

(2)

• Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
• Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection

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