Parameter & Variable-Selection Uncertainty in Asset Allocation

Name: Parameter & Variable-Selection Uncertainty in Asset Allocation
Brand: LAP Lambert Academic Publishing
SKU: 9783659953804
Price: 16522 HUF
Availability: InStock

Szerző: Marios Lioutas

Nyelv:

Kötés: Puha kötésű

Kiadó: LAP Lambert Academic Publishing

Elérhetőség: Beszállítói készleten

Küldés 5-8 napon belül

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This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio...

Információk a könyvről

Szerző

Marios Lioutas

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

2016

oldal

116

EAN

9783659953804

Enbook ID

15201219

Kiadó

LAP Lambert Academic Publishing

Súly

191

Méretek

150 x 220 x 7

Teljes leírás

This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio, using an econometric point of view. Its main contribution is the investigation of a new Bayesian approach for the portfolio choice. Markov Chain Monte Carlo (MCMC) algorithm, recently proposed in the Bayesian literature, is introduced and applied for a decision-theoretic approach of the optimal weight asset allocation strategy. In particular, the Gibbs sampler proposed by Korobilis (2013) is used in order to estimate the parameters of econometric models for finding the optimal portfolio of an investor. The proposed approach, except for the parameter uncertainty, takes into account the variable-selection uncertainty. More precisely, a computationally efficient algorithm for variable selection is proposed and the approach is compared with the ones in the relevant econometric literature for a managed decision-theoretic portfolio construction.

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Parameter & Variable-Selection Uncertainty in Asset Allocation

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