Bayesian portfolio selection with multi-variate random variance models
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- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Bollerslev, Tim, 1986.
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- Polson, Nicholas G & Tew, Bernard V, 2000. "Bayesian Portfolio Selection: An Empirical Analysis of the S&P 500 Index 1970-1996," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 164-73, April.
- Donald E. Farrar, 1962. "The Investment Decision Under Uncertainty: Portfolio Selection," Journal of Finance, American Finance Association, vol. 17(4), pages 671-672, December.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Barry, Christopher B. & Winkler, Robert L., 1976. "Nonstationarity and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(02), pages 217-235, June.
- Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
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