Bayesian portfolio selection with multi-variate random variance models
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- Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 247-264.
- 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.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
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- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Winkler, Robert L & Barry, Christopher B, 1975. "A Bayesian Model for Portfolio Selection and Revision," Journal of Finance, American Finance Association, vol. 30(1), pages 179-92, March.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- 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.
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
- James C. T. Mao & Carl Erik Särndal, 1966. "A Decision Theory Approach to Portfolio Selection," Management Science, INFORMS, vol. 12(8), pages B323-B333, April.
- Uhlig, H.F.H.V.S., 1996.
"Bayesian Vector Autoregressions with Stochastic Volatility,"
1996-09, Tilburg University, Center for Economic Research.
- Harald Uhlig, 1997. "Bayesian Vector Autoregressions with Stochastic Volatility," Econometrica, Econometric Society, vol. 65(1), pages 59-74, January.
- Donald E. Farrar, 1962. "The Investment Decision Under Uncertainty: Portfolio Selection," Journal of Finance, American Finance Association, vol. 17(4), pages 671-672, December.
- Aguilar, Omar & West, Mike, 2000. "Bayesian Dynamic Factor Models and Portfolio Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 338-57, 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.
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