Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo
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KeywordsBayesian Statistics; Estimation Risk; Finite Sample; Markov Chain Monte Carlo; Portfolio Selection;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-11-28 (All new papers)
- NEP-CFN-2002-11-28 (Corporate Finance)
- NEP-CMP-2002-11-28 (Computational Economics)
- NEP-FIN-2002-11-28 (Finance)
- NEP-IFN-2002-11-28 (International Finance)
- NEP-RMG-2002-11-28 (Risk Management)
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