Bayesian portfolio selection with multi-variate random variance models

DOI10.1016/j.ejor.2005.01.012zbMath1116.91049OpenAlexW2056402039MaRDI QIDQ819095

Kadir Tanyeri, Refik Soyer

Publication date: 22 March 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.01.012

zbMATH Keywords

dynamic programmingstochastic volatilityportfolio optimizationdecision analysisBayesian inference

Mathematics Subject Classification ID

Bayesian inference (62F15) Stochastic models in economics (91B70) Dynamic programming (90C39) Portfolio theory (91G10)

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Cites Work

• Bayesian portfolio selection with multi-variate random variance models
• On singular Wishart and singular multivariate beta distributions
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Multivariate Stochastic Variance Models
• Bayesian Vector Autoregressions with Stochastic Volatility
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