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We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the traditional Markowitz approach: the ability to handle higher moments and parameter uncertainty. We employ the skew normal distribution which has many...
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Modeling consumer heterogeneity helps practitioners understand market structures and devise effective marketing strategies. In this research we study finite mixture specifications for modeling consumer heterogeneity where each regression coefficient has its own finite mixture, that is, an...
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