Bayesian estimation of the global minimum variance portfolio
Taras Bodnar, Stepan Mazur, Yarema Okhrin
| Year of publication: |
1 January 2017
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|---|---|
| Authors: | Bodnar, Taras ; Mazur, Stepan ; Okhrin, Yarema |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 256.2017, 1 (1.1.), p. 292-307
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| Subject: | Global minimum variance portfolio | Posterior distribution | Credible interval | Wishart distribution | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Bayes-Statistik | Bayesian inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.05.044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011611271