Bayesian estimation of the global minimum variance portfolio
Year of publication: |
1 January 2017
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Authors: | Bodnar, Taras ; Mazur, Stepan ; Okhrin, Yarema |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 256.2017, 1 (1.1.), p. 292-307
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Subject: | Global minimum variance portfolio | Posterior distribution | Credible interval | Wishart distribution | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Varianzanalyse | Analysis of variance |
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