A minimum Bayes risk approach to optimal portfolio choice

DOI10.1080/00207728108963761zbMath0466.62008OpenAlexW2171952996MaRDI QIDQ3918876

Winston T. Lin

Publication date: 1981

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728108963761

zbMATH Keywords

numerical exampleconjugate priorsLagrange multiplier methoddiffuse priorsoptimal portfolio choicequasi-optimal solutionminimum Bayes risk approachtrue-optimal solution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Decision theory (91B06) Nonlinear programming (90C30)

Related Items (2)

A minimax policy for optimal portfolio choice ⋮ Der Wert von Renditeprognosen für Anlageentscheidungen

Cites Work

• Risk Aversion in the Small and in the Large
• Bayesian Estimation in Multivariate Analysis
• Estimation in the Linear Decision Model
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