A general approach to Bayesian portfolio optimization
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DOI: 10.1007/s00186-008-0271-4
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- Humberto Valencia Herrera, 2011. "Value at Risk and Return from the Use of Bayesian Methods for Stress Testing in a World Asset Allocation and the 2008-2009 Crisis," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 33-49.
- Dimitrios Bisias & Andrew W Lo & James F Watkins, 2012. "Estimating the NIH Efficient Frontier," PLOS ONE, Public Library of Science, vol. 7(5), pages 1-10, May.
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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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