Portfolio Selection under Parameter Uncertainty using a Predictive Distribution

We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution incorporates uncertainties in mean and volatility of market returns. We then select an optimal portfolio with expected utility calculated under the predictive distribution. We demonstrate the performance of the new approach by applying it to simulated and real market data.

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Year of publication:	2007
Authors:	Im, Ji Jung ; Lim, Hyun Soo ; Choi, Sung sub ; Nikitin, Denis
Published in:	Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 8.2007, 2, 4, p. 305-312
Publisher:	China Economics and Management Academy
Subject:	Portfolio Selection \| Parameter Uncertainty \| Estimation Error \| Bayesian Framework \| Predictive Distribution \| Generalized Hyperbolic Distribution \| Utility Function \| Utility Restoration Ratio

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C11 - Bayesian Analysis ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009228656