Bayesian portfolio selection with multi-variate random variance models

DOI10.1016/j.ejor.2005.01.012zbMath1116.91049MaRDI QIDQ819095

Kadir Tanyeri, Refik Soyer

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

zbMATH Keywords

dynamic programming; stochastic volatility; portfolio optimization; decision analysis; Bayesian inference

Mathematics Subject Classification ID

62F15: Bayesian inference

91B70: Stochastic models in economics

90C39: Dynamic programming

91G10: Portfolio theory

Related Items

Real-time covariance estimation for the local level model, Time-varying vector autoregressive models with stochastic volatility, Multi-period power utility optimization under stock return predictability, 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, On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability, Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets, Portfolio selection using \(\lambda\) mean and hybrid entropy, Bayesian portfolio selection with multi-variate random variance models, Stochastic dominance and mean-variance measures of profit and loss for business planning and investment, Comment on article by Windle and Carvalho, Bayesian variable selection in generalized linear models using a combination of stochastic optimization methods, A mispricing model of stocks under asymmetric information, An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment, Multi-variate stochastic volatility modelling using Wishart autoregressive processes

Cites Work

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