Portfolio selection using hierarchical Bayesian analysis and MCMC methods

Journal of Banking and Finance

Volumn 30, Issue 2, 2006, Pages 669-678

  Greyserman, Alex ^a   Jones, Douglas H ^b,c   Strawderman, William E ^d,e  

^a Hite Capital Management LLC   (United States)

^b Rutgers Business School ^*  (United States)

^c RUTGERS UNIVERSITY   (United States)

^d RUTGERS UNIVERSITY   (United States)

^e RUTGERS UNIVERSITY   (United States)

Author keywords

Gibbs sampling; Hierarchical Bayes; Monte Carlo Markov Chain; Portfolio theory

Indexed keywords

EID: 32944481473     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.04.008     Document Type: Article

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