Incorporating different sources of information for bayesian optimal portfolio selection
Olha Bodnar, Taras Bodnar, Vilhelm Niklasson
| Year of publication: |
2025
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|---|---|
| Authors: | Bodnar, Olha ; Bodnar, Taras ; Niklasson, Vilhelm |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 2, p. 365-377
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| Subject: | Conjugate prior | EPU | High-frequency data | Jeffreys' prior | Value-weighted portfolio | VIX | Portfolio-Management | Portfolio selection | Theorie | Theory | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2024.2379361 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534245