Portfolio Selection under Parameter Uncertainty using a Predictive Distribution
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References listed on IDEAS
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Cited by:
- Pei Pei, 2010. "Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights," Caepr Working Papers 2010-010, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
- Zaichao Du & Pei Pei, 2020. "Backtesting portfolio value‐at‐risk with estimated portfolio weights," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 605-619, September.
- Pei Pei, 2010. "Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights," CAEPR Working Papers 2010-010, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
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More about this item
Keywords
Portfolio Selection; Parameter Uncertainty; Estimation Error; Bayesian Framework; Predictive Distribution; Generalized Hyperbolic Distribution; Utility Function; Utility Restoration Ratio;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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