Bayesian portfolio selection with multi-variate random variance models

DOI10.1016/J.EJOR.2005.01.012zbMATH Open1116.91049OpenAlexW2056402039MaRDI QIDQ819095FDOQ819095

Authors: Refik Soyer, Kadir Tanyeri 

Publication date: 22 March 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.01.012

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zbMATH Keywords

Bayesian inferencedynamic programmingdecision analysisportfolio optimizationstochastic volatility

Mathematics Subject Classification ID

Bayesian inference (62F15) Dynamic programming (90C39) Portfolio theory (91G10) Stochastic models in economics (91B70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Multivariate Stochastic Variance Models
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• Bayesian portfolio selection with multi-variate random variance models
• On singular Wishart and singular multivariate beta distributions
• Bayesian Vector Autoregressions with Stochastic Volatility
• Monte Carlo posterior integration in GARCH models

Cited In (30)

• Bayesian portfolio optimization for electricity generation planning
• BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• An application of a minimax Bayes rule and shrinkage estimators to the portfolio selection problem under the Bayesian approach
• Time-varying vector autoregressive models with stochastic volatility
• Bayesian filtering for multi-period mean-variance portfolio selection
• Portfolio selection using \(\lambda\) mean and hybrid entropy
• Optimal strategies for selecting project portfolios using uncertain value estimates
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• A discontinuous mispricing model under asymmetric information
• Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach
• A simulation approach to statistical estimation of multiperiod optimal portfolios
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Bayesian inference of the multi-period optimal portfolio for an exponential utility
• Bayesian portfolio selection with multi-variate random variance models
• Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals.
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• Comment on article by Windle and Carvalho
• Multi-period power utility optimization under stock return predictability
• A mispricing model of stocks under asymmetric information
• Bayesian variable selection in generalized linear models using a combination of stochastic optimization methods
• Optimal asset allocation with multivariate Bayesian dynamic linear models
• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
• Real-time covariance estimation for the local level model
• Title not available (Why is that?)
• Bayesian emulation for multi-step optimization in decision problems
• Title not available (Why is that?)
• Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
• Multi-variate stochastic volatility modelling using Wishart autoregressive processes
• Bayesian variable selection and model averaging in the arbitrage pricing theory model

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