Bayesian portfolio selection under a multifactor asset return model with predictive model selection
Year of publication: |
2012
|
---|---|
Authors: | Ando, Tomohiro |
Published in: |
Global Business and Economics Review. - Inderscience Enterprises Ltd, ISSN 1097-4954. - Vol. 14.2012, 1/2, p. 77-101
|
Publisher: |
Inderscience Enterprises Ltd |
Subject: | Bayesian model averaging | empirical Bayes | Markov chain Monte Carlo | predictive model selection | portfolio selection | multifactor asset returns | uncertainty | USA | United States | Japan | stock markets | mean variance |
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