Bayesian estimation of the global minimum variance portfolio

DOI10.1016/j.ejor.2016.05.044zbMath1395.91395OpenAlexW2472781479MaRDI QIDQ1752196

Yarema Okhrin, Stepan Mazur, Taras Bodnar

Publication date: 24 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://lup.lub.lu.se/record/8052712

zbMATH Keywords

posterior distributionWishart distributionglobal minimum variance portfoliocredible interval

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (20)

Determination and estimation of risk aversion coefficients ⋮ Bayesian portfolio selection using VaR and CVaR ⋮ A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ Asset allocation with correlation: a composite trade-off ⋮ Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency ⋮ Discriminant analysis in small and large dimensions ⋮ Bayesian filtering for multi-period mean-variance portfolio selection ⋮ BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Estimation of the global minimum variance portfolio in high dimensions ⋮ BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM ⋮ Bayesian inference of the multi-period optimal portfolio for an exponential utility ⋮ Portfolio selection based on Bayesian theory ⋮ Quantile-based optimal portfolio selection ⋮ Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory ⋮ Unrestricted maximum likelihood estimation of multivariate realized volatility models

Uses Software

• bootlib

Cites Work

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• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
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• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• Comparison of different estimation techniques for portfolio selection
• A test for the weights of the global minimum variance portfolio in an elliptical model
• On the equivalence of quadratic optimization problems commonly used in portfolio theory
• Mean-variance approximations to expected utility
• The benefits of differential variance-based constraints in portfolio optimization
• Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
• SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS

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