Portfolio optimisation using constrained hierarchical bayes models

DOI10.1080/24754269.2017.1347310OpenAlexW2769172681MaRDI QIDQ5880169

Xinyi Xu, Jiangyong Yin

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2017.1347310

zbMATH Keywords

Bayesian hierarchical modelsportfolio choicesparameter constrains

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency

Cites Work

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• Proper Bayes Minimax Estimators of the Multivariate Normal Mean

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