Inference on partially identified models plays an important role in econometrics. This paper proposes novel Bayesian procedures for these models when the identified set is closed and convex and so is completely characterized by its support function. We shed new light on the connection between...

Bayesian partially identified models have received a growing attention in recent years in the econometric literature, due to their broad applications in empirical studies. Classical Bayesian approach in this literature has been assuming a parametric model, by specifying an ad-hoc parametric...

Proceeding to portfolio allocation in the framework of Markowitz, a numerical inconsistency may occur when the sample covariance matrix of assets returns has to be inverted. This is mainly caused by the magnitude of its lowest eigenvalues. In this paper, we tackle the Markowitz problem as an...