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Bayesian portfolio selection with multi-variate random variance models

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  • Soyer, Refik
  • Tanyeri, Kadir
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-4FNNC95-9/2/dfc25b59881c309ab0aa69b5903a3934
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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 171 (2006)
    Issue (Month): 3 (June)
    Pages: 977-990

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    Handle: RePEc:eee:ejores:v:171:y:2006:i:3:p:977-990

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    Web page: http://www.elsevier.com/locate/eor

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    Cited by:
    1. Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.
    2. Wong, Wing-Keung, 2007. "Stochastic dominance and mean-variance measures of profit and loss for business planning and investment," European Journal of Operational Research, Elsevier, vol. 182(2), pages 829-843, October.
    3. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability," Papers 1207.1037, arXiv.org.
    4. Bianchi, Daniele & Guidolin, Massimo, 2014. "Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets," European Journal of Operational Research, Elsevier, vol. 236(1), pages 160-176.
    5. Fouskakis, D., 2012. "Bayesian variable selection in generalized linear models using a combination of stochastic optimization methods," European Journal of Operational Research, Elsevier, vol. 220(2), pages 414-422.
    6. K. Triantafyllopoulos, 2013. "Multivariate stochastic volatility modelling using Wishart autoregressive processes," Papers 1311.0530, arXiv.org.
    7. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
    8. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
    9. Vilkkumaa, Eeva & Liesiö, Juuso & Salo, Ahti, 2014. "Optimal strategies for selecting project portfolios using uncertain value estimates," European Journal of Operational Research, Elsevier, vol. 233(3), pages 772-783.
    10. Musal, R. Muzaffer & Soyer, Refik & McCabe, Christopher & Kharroubi, Samer A., 2012. "Estimating the population utility function: A parametric Bayesian approach," European Journal of Operational Research, Elsevier, vol. 218(2), pages 538-547.

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