De Franco, Carmine; Nicolle, Johann; Pham, Huyên - In: Risks : open access journal 7 (2019) 1/5, pp. 1-18
on filtering techniques and learning methods, we use a Bayesian learning approach to solve the Markowitz problem and … Bayesian learning strategy, we compare it with an optimal nonlearning strategy that keeps the drift constant at all times. In … order to emphasize the prevalence of the Bayesian learning strategy above the nonlearning one in different situations, we …
