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Kniha Parameter & Variable-Selection Uncertainty in Asset Allocation Marios Lioutas

Parameter & Variable-Selection Uncertainty in Asset Allocation

Autor: Marios Lioutas
Jazyk: Angličtina
Vazba: Brožovaná
Vydavatel: LAP Lambert Academic Publishing
Dostupnost: Skladem u dodavatele
Odesíláme za 5-8 dnů
984 Kč
This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio...

Informace o knize

Autor
Marios Lioutas
Jazyk
Angličtina
Vazba
Kniha - Brožovaná
Vydáno
2016
Stránek
116
EAN
9783659953804
Enbook ID
15201219
Vydavatel
LAP Lambert Academic Publishing
Hmotnost
191
Rozměry
150 x 220 x 7

Kompletní popis

This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio, using an econometric point of view. Its main contribution is the investigation of a new Bayesian approach for the portfolio choice. Markov Chain Monte Carlo (MCMC) algorithm, recently proposed in the Bayesian literature, is introduced and applied for a decision-theoretic approach of the optimal weight asset allocation strategy. In particular, the Gibbs sampler proposed by Korobilis (2013) is used in order to estimate the parameters of econometric models for finding the optimal portfolio of an investor. The proposed approach, except for the parameter uncertainty, takes into account the variable-selection uncertainty. More precisely, a computationally efficient algorithm for variable selection is proposed and the approach is compared with the ones in the relevant econometric literature for a managed decision-theoretic portfolio construction.

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