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Regularizing portfolio risk analysis: a Bayesian approach - MaRDI portal

Regularizing portfolio risk analysis: a Bayesian approach (Q1707049)

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English
Regularizing portfolio risk analysis: a Bayesian approach
scientific article

    Statements

    title
    Regularizing portfolio risk analysis: a Bayesian approach (English)
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    author
    Sourish Das
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    Aritra Halder
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    Dey, Dipak K.
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    publication date
    28 March 2018
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    zbMATH Keywords
    Monte Carlo algorithm
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    parallel computation
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    risk analysis
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    shrinkage method
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    volatility
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    describes a project that uses
    BayesDA
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    R
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    ghyp
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62F15
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    91G60
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    91G70
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    zbMATH DE Number
    6854249
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    OpenAlex ID
    W3101681079
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    arXiv ID
    1404.3258
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