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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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  • Soyer, Refik & Tanyeri, Kadir, 2006. "Bayesian portfolio selection with multi-variate random variance models," European Journal of Operational Research, Elsevier, vol. 171(3), pages 977-990, June.
    • Handle: RePEc:eee:ejores:v:171:y:2006:i:3:p:977-990
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    References listed on IDEAS

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    1. Aguilar, Omar & West, Mike, 2000. "Bayesian Dynamic Factor Models and Portfolio Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 338-357, July.
    2. Donald E. Farrar, 1962. "The Investment Decision Under Uncertainty: Portfolio Selection," Journal of Finance, American Finance Association, vol. 17(4), pages 671-672, December.
    3. Andrew Harvey & Esther Ruiz & Neil Shephard, 1994. "Multivariate Stochastic Variance Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(2), pages 247-264.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    5. 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 116-131, February.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    7. 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 164-173, April.
    8. James C. T. Mao & Carl Erik Särndal, 1966. "A Decision Theory Approach to Portfolio Selection," Management Science, INFORMS, vol. 12(8), pages 323-333, April.
    9. MOSSIN, Jan, 1968. "Optimal multiperiod portfolio policies," LIDAM Reprints CORE 19, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. Barry, Christopher B. & Winkler, Robert L., 1976. "Nonstationarity and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(2), pages 217-235, June.
    11. Harald Uhlig, 1997. "Bayesian Vector Autoregressions with Stochastic Volatility," Econometrica, Econometric Society, vol. 65(1), pages 59-74, January.
    12. 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 179-192, March.
    13. 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.
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    Cited by:

    1. Roberto Casarin, 2014. "A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices," Working Papers 2014:23, Department of Economics, University of Venice "Ca' Foscari".
    2. 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.
    3. Buckley, Winston & Long, Hongwei & Marshall, Mario, 2016. "Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets," European Journal of Operational Research, Elsevier, vol. 252(2), pages 676-686.
    4. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015. "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability," European Journal of Operational Research, Elsevier, vol. 246(2), pages 528-542.
    5. Escobar-Anel, Marcos & Gollart, Maximilian & Zagst, Rudi, 2022. "Closed-form portfolio optimization under GARCH models," Operations Research Perspectives, Elsevier, vol. 9(C).
    6. 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.
    7. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
    8. 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.
    9. Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wolfgang Schmid, 2023. "Multi-period power utility optimization under stock return predictability," Computational Management Science, Springer, vol. 20(1), pages 1-27, December.
    10. Klerkx, Rik & Pelsser, Antoon, 2022. "Narrative-based robust stochastic optimization," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 266-277.
    11. K. Triantafyllopoulos, 2011. "Time-varying vector autoregressive models with stochastic volatility," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(2), pages 369-382, September.
    12. 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.
    13. Jiuping Xu & Xiaoyang Zhou & Desheng Wu, 2011. "Portfolio selection using λ mean and hybrid entropy," Annals of Operations Research, Springer, vol. 185(1), pages 213-229, May.
    14. Marcos Escobar-Anel & Max Speck & Rudi Zagst, 2024. "Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization," Mathematics, MDPI, vol. 12(11), pages 1-27, May.
    15. 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.
    16. 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.
    17. 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.
    18. Milford, James & Henrion, Max & Hunter, Chad & Newes, Emily & Hughes, Caroline & Baldwin, Samuel F., 2022. "Energy sector portfolio analysis with uncertainty," Applied Energy, Elsevier, vol. 306(PA).
    19. K. Triantafyllopoulos, 2012. "Multi‐variate stochastic volatility modelling using Wishart autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 48-60, January.
    20. Xiaoqiang Cai & Gen Yu, 2025. "Bayesian learning in dynamic portfolio selection under a minimax rule," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 47(1), pages 287-324, March.
    21. Escobar-Anel, Marcos & Yang, Yu-Jung & Zagst, Rudi, 2025. "Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications," The North American Journal of Economics and Finance, Elsevier, vol. 77(C).
    22. 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.

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