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Bayesian Portfolio Analysis

Citations

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Cited by:

  1. Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
  2. Hirano, Keisuke & Porter, Jack R., 2020. "Asymptotic analysis of statistical decision rules in econometrics," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 283-354, Elsevier.
  3. Andrew Ang & Andrés Ayala & William N. Goetzmann, 2018. "Investment beliefs of endowments," European Financial Management, European Financial Management Association, vol. 24(1), pages 3-33, January.
  4. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
  5. Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
  6. Thomas Y. L. Lin & Jerry Yao-Chieh Hu & Paul W. Chiou & Peter Lin, 2025. "Latent Variable Estimation in Bayesian Black-Litterman Models," Papers 2505.02185, arXiv.org.
  7. Carmine De Franco & Johann Nicolle & Huyên Pham, 2019. "Dealing with Drift Uncertainty: A Bayesian Learning Approach," Risks, MDPI, vol. 7(1), pages 1-18, January.
  8. Matthias M. M. Buehlmaier & Kit Pong Wong, 2020. "Should investors join the index revolution? Evidence from around the world," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 192-218, May.
  9. Sangwon Suh, 2016. "A Combination Rule for Portfolio Selection with Transaction Costs," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 393-420, September.
  10. Taras Bodnar & Vilhelm Niklasson & Erik Thors'en, 2022. "Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR," Papers 2205.01444, arXiv.org.
  11. Carmine de Franco & Johann Nicolle & Huyên Pham, 2018. "Bayesian learning for the Markowitz portfolio selection problem," Working Papers hal-01923917, HAL.
  12. Carmine De Franco & Johann Nicolle & Huy^en Pham, 2018. "Bayesian learning for the Markowitz portfolio selection problem," Papers 1811.06893, arXiv.org.
  13. Fuertes, Ana-Maria & Zhao, Nan, 2023. "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, vol. 30(C).
  14. Khoa Dang Duong & Ngoc Thi Thanh Nguyen & Nga Thu Thi Do & Hoa Thanh Phan Le, 2024. "Limit to Arbitrage and Distress Risk Puzzle in Vietnam: Does Corporate Bankruptcy Regulation Matter?," SAGE Open, , vol. 14(2), pages 21582440241, May.
  15. Dragon Yongjun Tang, 2014. "Potential losses from incorporating return predictability into portfolio allocation," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 35-45, February.
  16. Yong Li & Jun Yu & Tao Zeng, 2018. "Integrated Deviance Information Criterion for Latent Variable Models," Economics and Statistics Working Papers 6-2018, Singapore Management University, School of Economics.
  17. Bodnar, Taras & Mazur, Stepan & Okhrin, Yarema, 2017. "Bayesian estimation of the global minimum variance portfolio," European Journal of Operational Research, Elsevier, vol. 256(1), pages 292-307.
  18. Yong Li & Zeng Tao & Jun Yu, "undated". "Robust Deviance Information Criterion for Latent Variable Models," Working Papers CoFie-04-2012, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
  19. Taras Bodnar & Stepan Mazur & Hoang Nguyen, 2024. "Estimation of Optimal Portfolio Compositions for Small Sample and Singular Covariance Matrix," Springer Books, in: Sven Knoth & Yarema Okhrin & Philipp Otto (ed.), Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science, pages 259-278, Springer.
  20. Bodnar, Olha & Bodnar, Taras & Niklasson, Vilhelm, 2024. "Constructing Bayesian tangency portfolios under short-selling restrictions," Finance Research Letters, Elsevier, vol. 62(PA).
  21. Kontosakos, Vasileios E. & Hwang, Soosung & Kallinterakis, Vasileios & Pantelous, Athanasios A., 2024. "Long-term dynamic asset allocation under asymmetric risk preferences," European Journal of Operational Research, Elsevier, vol. 312(2), pages 765-782.
  22. David Bauder & Taras Bodnar & Stepan Mazur & Yarema Okhrin, 2018. "Bayesian Inference For The Tangent Portfolio," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-27, December.
  23. Feng, Guanhao & He, Jingyu, 2022. "Factor investing: A Bayesian hierarchical approach," Journal of Econometrics, Elsevier, vol. 230(1), pages 183-200.
  24. Kellerer, Belinda, 2019. "Portfolio Optimization and Ambiguity Aversion," Junior Management Science (JUMS), Junior Management Science e. V., vol. 4(3), pages 305-338.
  25. Mao, Jie & Xia, Xiaobao & Zhuo, Haotian, 2025. "Taming the factor zoo in China’s equity market: A Bayesian approach," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
  26. D. J. Johnstone, 2021. "Accounting information, disclosure, and expected utility: Do investors really abhor uncertainty?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(1-2), pages 3-35, January.
  27. Penaranda, Francisco & Sentana, Enrique, 2024. "Portfolio management with big data," CEPR Discussion Papers 19314, Centre for Economic Policy Research.
  28. Evan Anderson & Ai-ru (Meg) Cheng, 2022. "Portfolio Choices with Many Big Models," Management Science, INFORMS, vol. 68(1), pages 690-715, January.
  29. Johannes Bock, 2018. "An updated review of (sub-)optimal diversification models," Papers 1811.08255, arXiv.org.
  30. Gillen, Benjamin J., 2014. "An empirical Bayesian approach to stein-optimal covariance matrix estimation," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 402-420.
  31. Chiaki Hara & Toshiki Honda, 2014. "Asset Demand and Ambiguity Aversion," KIER Working Papers 911, Kyoto University, Institute of Economic Research.
  32. Ahmed Imran Hunjra & Tahar Tayachi & Rashid Mehmood & Sidra Malik & Zoya Malik, 2020. "Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets," Risks, MDPI, vol. 8(2), pages 1-14, April.
  33. Han, Chulwoo, 2020. "A nonparametric approach to portfolio shrinkage," Journal of Banking & Finance, Elsevier, vol. 120(C).
  34. Carmine De Franco & Johann Nicolle & Huyên Pham, 2019. "Bayesian Learning For The Markowitz Portfolio Selection Problem," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-40, November.
  35. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
  36. Miguel C. Herculano, 2026. "Bayesian Parametric Portfolio Policies," Papers 2602.21173, arXiv.org.
  37. Li, Yong & Yu, Jun, 2012. "Bayesian hypothesis testing in latent variable models," Journal of Econometrics, Elsevier, vol. 166(2), pages 237-246.
  38. Erindi Allaj, 2013. "The Black–Litterman model: a consistent estimation of the parameter tau," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(2), pages 217-251, June.
  39. Alejandro Rodriguez Dominguez & Muhammad Shahzad & Xia Hong, 2025. "Multi-Hypothesis Prediction for Portfolio Optimization: A Structured Ensemble Learning Approach to Risk Diversification," Papers 2501.03919, arXiv.org, revised May 2025.
  40. Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2016. "A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
  41. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
  42. Manish, & Chahal, Rishman Jot Kaur, 2026. "Bridging behavioral insights and quantitative finance: AI-powered Black–Litterman framework with technical and sentiment signals," Research in International Business and Finance, Elsevier, vol. 84(C).
  43. Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M.M., 2024. "First passage times in portfolio optimization: A novel nonparametric approach," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1074-1085.
  44. Chulwoo Han, 2020. "How much should portfolios shrink?," Financial Management, Financial Management Association International, vol. 49(3), pages 707-740, September.
  45. Minshuo Chen & Renyuan Xu & Yumin Xu & Ruixun Zhang, 2025. "Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure," Papers 2504.06566, arXiv.org, revised Jan 2026.
  46. Scott Cederburg & Travis L Johnson & Michael S O’Doherty, 2023. "On the Economic Significance of Stock Return Predictability," Review of Finance, European Finance Association, vol. 27(2), pages 619-657.
  47. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
  48. Andrew W. Lo & Ruixun Zhang, 2025. "Performance Attribution for Portfolio Constraints," Management Science, INFORMS, vol. 71(9), pages 7537-7559, September.
  49. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
  50. Merkle, Christoph, 2017. "Financial overconfidence over time: Foresight, hindsight, and insight of investors," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 68-87.
  51. Guidolin, Massimo & Liu, Hening, 2016. "Ambiguity Aversion and Underdiversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(4), pages 1297-1323, August.
  52. Taras Bodnar & Mathias Lindholm & Vilhelm Niklasson & Erik Thors'en, 2020. "Bayesian Quantile-Based Portfolio Selection," Papers 2012.01819, arXiv.org.
  53. Bryan Kelly & Dacheng Xiu, 2023. "Financial Machine Learning," Foundations and Trends(R) in Finance, now publishers, vol. 13(3-4), pages 205-363, November.
  54. Mihnea S. Andrei & Sujit K. Ghosh & Jian Zou, 2021. "Dynamic Correlation Multivariate Stochastic Volatility Black-Litterman With Latent Factors," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(2), pages 1-1, March.
  55. Hung, Ming-Chin & Hsia, Ping-Hung & Kuang, Xian-Ji & Lin, Shih-Kuei, 2024. "Intelligent portfolio construction via news sentiment analysis," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 605-617.
  56. Li, Yong & Yu, Jun & Zeng, Tao, 2020. "Deviance information criterion for latent variable models and misspecified models," Journal of Econometrics, Elsevier, vol. 216(2), pages 450-493.
  57. Chirag Shekhar & Mark Trede, 2017. "Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins," Review of Economics & Finance, Better Advances Press, Canada, vol. 9, pages 29-41, August.
  58. David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2021. "Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 221-242, February.
  59. Fuhrer, Adrian & Hock, Thorsten, 2019. "Uncertainty in the Black-Litterman model: A practical note," Weidener Diskussionspapiere 68, University of Applied Sciences Amberg-Weiden (OTH).
  60. Miquel Noguer i Alonso, 2026. "Distributional Portfolio Optimization (DPO): A Unified Framework for Distributions over Weights, Returns, and Parameters," Papers 2605.30464, arXiv.org.
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