Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty

DOI10.1080/14697688.2020.1748214zbMath1466.91277arXiv1803.03573OpenAlexW3024688460MaRDI QIDQ4991069

Nestor Parolya, Wolfgang Schmid, Taras Bodnar, David Bauder

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.03573

zbMATH Keywords

stochastic representationparameter uncertaintyoptimal portfolioefficient frontierposterior predictive distributionBlack-Litterman model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (5)

Bayesian portfolio selection using VaR and CVaR ⋮ Smart network based portfolios ⋮ BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM ⋮ Quantile-based optimal portfolio selection ⋮ Recent advances in shrinkage-based high-dimensional inference

Uses Software

• BayesDA

Cites Work

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• Computational Statistics
• Tests for the Weights of the Global Minimum Variance Portfolio in a High-Dimensional Setting
• Bayesian estimation of the efficient frontier
• A new class of Bayesian semi-parametric models with applications to option pricing

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