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In the context of modern portfolio theory, we compare the out-of-sample performance of eight investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...
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"This book is refreshing, innovative and important for several reasons. Perhaps most importantly, it attempts to reconcile game theory with one-person decision theory by viewing a game as a collection of one-person decision problems. As natural as this approach may seem, it is hard to find game...
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We develop a general approach to portfolio optimization taking account of estimation risk and stylized facts of empirical finance. This is done within a Bayesian framework. The approximation of the posterior distribution of the unknown model parameters is based on a parallel tempering algorithm....
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