Optimal asset allocation with multivariate Bayesian dynamic linear models

DOI10.1214/19-AOAS1303zbMath1439.62245OpenAlexW2907590904MaRDI QIDQ2179969

Jared D. Fisher, Davide Pettenuzzo, Carlos Marinho Carvalho

Publication date: 13 May 2020

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoas/1587002676

zbMATH Keywords

asset allocationmultivariate Bayesian dynamic linear model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12)

Uses Software

• bvarsv
• rSGDLM

Cites Work

• Unnamed Item
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• Some matrix-variate distribution theory: Notational considerations and a Bayesian application
• Dynamic dependence networks: Financial time series forecasting and portfolio decisions
• Time Varying Structural Vector Autoregressions and Monetary Policy

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