A general approach to Bayesian portfolio optimization
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DOI: 10.1007/s00186-008-0271-4
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- Constantin ANGHELACHE & Marius POPOVICI, 2017. "Financial market analysis models," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(6), pages 174-183, June.
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More about this item
Keywords
Bayesian portfolio optimization; Gordin’s condition; Markov chain Monte Carlo; Stylized facts; 62F15; 91B28;All these keywords.
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