Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty
David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid
| Year of publication: |
2021
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|---|---|
| Authors: | Bauder, David ; Bodnar, Taras ; Parolya, Nestor ; Schmid, Wolfgang |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 2, p. 221-242
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| Subject: | Black-Litterman model | Efficient frontier | Optimal portfolio | Parameter uncertainty | Posterior predictive distribution | Stochastic representation | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Risiko | Risk | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1748214 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012424557