An application of a minimax Bayes rule and shrinkage estimators to the portfolio selection problem under the Bayesian approach

DOI10.1007/BF02763003zbMATH Open1102.62006MaRDI QIDQ855247FDOQ855247

Authors: Hiroyuki Kashima 

Publication date: 4 January 2007

Published in: Statistical Papers (Search for Journal in Brave)

Recommendations

• Bayesian portfolio selection with multi-variate random variance models
• Optimal portfolio choice: a minimum expected loss approach
• Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty
• ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
• Bayesian portfolio selection using VaR and CVaR

zbMATH Keywords

tablesgraphicsmaximization of expected utilityminimax Bayes rule

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

Cites Work

• Estimation of the mean of a multivariate normal distribution
• Title not available (Why is that?)
• Statistical decision theory and Bayesian analysis. 2nd ed
• Title not available (Why is that?)
• Title not available (Why is that?)
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• A unified and broadened class of admissible minimax estimators of a multivariate normal mean
• Improving on the James-Stein positive-part estimator
• A generalized binomial distribution determined by a two-state Markov chain and a distribution by the Bayesian approach
• Controlled shrinkage estimators (a class of estimators better than the least squares estimator, with respect to a general quadratic loss, for normal observations

Cited In (3)

• Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown
• Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions
• Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace

This page was built for publication: An application of a minimax Bayes rule and shrinkage estimators to the portfolio selection problem under the Bayesian approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q855247)