Bayesian learning for the Markowitz portfolio selection problem
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DOI: 10.1142/S0219024919500377
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Cited by:
- Shubhangi Sikaria & Rituparna Sen & Neelesh S. Upadhye, 2019. "Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection," Papers 1911.07526, arXiv.org, revised Aug 2020.
- Trichilli, Yousra & Abbes, Mouna Boujelbène & Masmoudi, Afif, 2020. "Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis," Research in International Business and Finance, Elsevier, vol. 51(C).
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Keywords
Bayesian learning; optimal portfolio; Markowitz problem; portfolio selection;All these keywords.
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