Bayesian portfolio selection with multi-variate random variance models

European Journal of Operational Research

Volumn 171, Issue 3, 2006, Pages 977-990

  Soyer, Refik ^a   Tanyeri, Kadir ^b  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

^b The George Washington University   (United States)

Author keywords

Bayesian inference; Decision analysis; Dynamic programming; Portfolio optimization; Stochastic volatility

Indexed keywords

COMPUTER SIMULATION; DYNAMIC PROGRAMMING; RANDOM PROCESSES; SECURITY SYSTEMS;

BACKWARD INDUCTION; BAYESIAN INFERENCE; PORTFOLIO OPTIMIZATION; STOCHASTIC VOLATILITY;

DECISION THEORY;

EID: 31144469610     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2005.01.012     Document Type: Conference Paper

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