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An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach

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  • Hiroyuki Kashima

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  • Hiroyuki Kashima, 2005. "An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach," Statistical Papers, Springer, vol. 46(4), pages 523-540, October.
    • Handle: RePEc:spr:stpapr:v:46:y:2005:i:4:p:523-540
    DOI: 10.1007/BF02763003
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    References listed on IDEAS

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    1. Victor Argy & Leslie Stein, 1997. "The Japanese Economy," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-38009-7.
    2. Maruyama, Yuzo, 1998. "A Unified and Broadened Class of Admissible Minimax Estimators of a Multivariate Normal Mean," Journal of Multivariate Analysis, Elsevier, vol. 64(2), pages 196-205, February.
    3. Lence, Sergio H & Hayes, Dermot J, 1994. "Parameter-Based Decision Making under Estimation Risk: An Application to Futures Trading," Journal of Finance, American Finance Association, vol. 49(1), pages 345-357, March.
    4. Frost, Peter A. & Savarino, James E., 1986. "An Empirical Bayes Approach to Efficient Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 293-305, September.
    5. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
    6. Glen, Jack & Jorion, Philippe, 1993. "Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
    7. Kubokawa, Tatsuya, 1997. "The Stein Phenomenon in Simultaneous Estimation: A Review," CIRJE F-Series 97-F-14, CIRJE, Faculty of Economics, University of Tokyo.
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