Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
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- Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
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- Taras Bodnar & Vilhelm Niklasson & Erik Thors'en, 2022. "Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR," Papers 2205.01444, arXiv.org.
- Bodnar, Taras & Lindholm, Mathias & Niklasson, Vilhelm & Thorsén, Erik, 2022. "Bayesian portfolio selection using VaR and CVaR," Applied Mathematics and Computation, Elsevier, vol. 427(C).
- Taras Bodnar & Mathias Lindholm & Vilhelm Niklasson & Erik Thors'en, 2020. "Bayesian Quantile-Based Portfolio Selection," Papers 2012.01819, arXiv.org.
- N'Golo Kone, 2020. "A Multi-Period Portfolio Selection in a Large Financial Market," Working Paper 1439, Economics Department, Queen's University.
- N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2017-05-21 (Risk Management)
- NEP-UPT-2017-05-21 (Utility Models and Prospect Theory)
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