Bayesian portfolio selection with multi-variate random variance models
type: Item
instance of: scholarly article
title: Bayesian portfolio selection with multi-variate random variance models
zbMATH Open document ID: 1116.91049
author: Refik Soyer
author: Kadir Tanyeri
published in: European Journal of Operational Research
publication date: 2006-03-22T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 62F15
zbMATH DE Number: 5014267
zbMATH Keywords: portfolio optimization
zbMATH Keywords: Bayesian inference
zbMATH Keywords: decision analysis
zbMATH Keywords: stochastic volatility
zbMATH Keywords: dynamic programming
MaRDI profile type: Publication
full work available at URL: j.ejor.2005.01.012
OpenAlex ID: W2056402039
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Q4695273
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Multivariate Stochastic Variance Models
cites work: Q4510984
cites work: Monte Carlo posterior integration in GARCH models
cites work: Q4348929
cites work: On singular Wishart and singular multivariate beta distributions
cites work: Bayesian Vector Autoregressions with Stochastic Volatility
DOI: 10.1016/J.EJOR.2005.01.012
description: scientific article; zbMATH DE number 5014267