Parameter & Variable-Selection Uncertainty in Asset Allocation

Name: Parameter & Variable-Selection Uncertainty in Asset Allocation
Brand: LAP Lambert Academic Publishing
SKU: 9783659953804
Price: 45.76 EUR
Availability: InStock

Автор: Marios Lioutas

Език:

Корици: С меки корици

Издател: LAP Lambert Academic Publishing

Наличност: Външен склад

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45.76 € 89.49 лв

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

Информация за книгата

Автор

Marios Lioutas

Език

Английски език

Корици

Книга - С меки корици

Издадена

2016

страници

116

EAN

9783659953804

Enbook ID

15201219

Издател

LAP Lambert Academic Publishing

Теглоt

191

Размери

150 x 220 x 7

Пълно описание

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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