Universal portfolios: Bayesian approximation

DOI10.3103/S1068362325700086MaRDI QIDQ6943154zbMATH OpenFDO

Authors H. Kechejian, Viktor Ohanyan, V. G. Bardakhchyan

Publication date 14 August 2025

Published in Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/S1068362325700086

zbMATH Keywords

Bayesian inferenceDirichlet prioruniversal portfolios

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Bayesian inference (62F15) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites work

• 10.1162/153244303321897672
• Algorithm of calculation of combined commodity options value
• BAYESIAN INTERPRETATION OF CONTINUOUS-TIME UNIVERSAL PORTFOLIOS(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Empirical Bayes stock market portfolios
• Fundamentals of nonparametric Bayesian inference
• The cost of achieving the best portfolio in hindsight
• Universal Portfolios

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