A Bayesian information criterion for portfolio selection

DOI10.1016/J.CSDA.2011.06.012zbMath1241.91142OpenAlexW3124534748MaRDI QIDQ429627

Chih-Ling Tsai, Hansheng Wang, Wei Lan

Publication date: 20 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.012

zbMATH Keywords

Bayesian information criterionportfolio selectionselection consistencyminimal variance portfoliorisk diversification

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

Portfolio selection based on semivariance and distance correlation under minimum variance framework ⋮ Portfolio selection: shrinking the time-varying inverse conditional covariance matrix

Cites Work

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• Covariance regularization by thresholding
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• On BIC’s selection consistency for discriminant analysis
• Forward Regression for Ultra-High Dimensional Variable Screening
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Adaptive Regression by Mixing
• A Test of the Efficiency of a Given Portfolio
• Generalized Thresholding of Large Covariance Matrices

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