A general approach to Bayesian portfolio optimization
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References listed on IDEAS
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- Gabriel Frahm & Tobias Wickern & Christof Wiechers, 2012. "Multiple tests for the performance of different investment strategies," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 343-383, July.
- Gabriel Frahm, 2015. "A theoretical foundation of portfolio resampling," Theory and Decision, Springer, vol. 79(1), pages 107-132, July.
More about this item
KeywordsBayesian portfolio optimization; Gordin's condition; Markov chain Monte Carlo; Stylized facts;
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