Portfolio Choice under Parameter Uncertainty: Bayesian Analysis and Robust Optimization Comparison
Year of publication: |
2014-12
|
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Authors: | Santos, António Alberto ; Monteiro, Ana Margarida ; Pascoal, Rui |
Institutions: | Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia |
Subject: | portfolio choice | Bayesian statistics | robust optimization | conic programming | semidefinite programming | loss distribution |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014-25 27 pages |
Classification: | C11 - Bayesian Analysis ; C13 - Estimation ; C44 - Statistical Decision Theory; Operations Research ; c58 ; C63 - Computational Techniques ; C87 - Econometric Software ; G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Size Distribution of Portuguese Firms between 2006 and 2012
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Malhotra, Yogesh, (2022)
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Malhotra, Yogesh, (2022)
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Size Distribution of Portuguese Firms between 2006 and 2012
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Pascoal, Rui, (2013)
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