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

Hiroyuki Kashima

Publication date: 4 January 2007

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

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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 (2)

• Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown
• Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace

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