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

DOI10.1007/BF02763003MaRDI QIDQ855247zbMATH OpenFDO

Authors Hiroyuki Kashima

Publication date 4 January 2007

Published in Statistical Papers (Search for Journal in Brave)

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)

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1040038 (Why is no real title available?)
• scientific article; zbMATH DE number 775283 (Why is no real title available?)
• A generalized binomial distribution determined by a two-state Markov chain and a distribution by the Bayesian approach
• A unified and broadened class of admissible minimax estimators of a multivariate normal mean
• Admissible minimax estimation of a multivariate normal mean with arbitrary quadratic loss
• Controlled shrinkage estimators (a class of estimators better than the least squares estimator, with respect to a general quadratic loss, for normal observations
• Estimation of the mean of a multivariate normal distribution
• Improving on the James-Stein positive-part estimator
• Statistical decision theory and Bayesian analysis. 2nd ed

Cited in

(3)

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

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