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Parameter & Variable-Selection Uncertainty in Asset Allocation

Name: Parameter & Variable-Selection Uncertainty in Asset Allocation
Brand: LAP Lambert Academic Publishing
SKU: 9783659953804
Price: 43.17 EUR
Availability: InStock

Autor: Marios Lioutas

Jazyk:

Väzba: Brožovaná

Vydavateľ: LAP Lambert Academic Publishing

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43.17 €

This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio...

Informácie o knihe

Autor

Marios Lioutas

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2016

Stránok

116

EAN

9783659953804

Enbook ID

15201219

Vydavateľ

LAP Lambert Academic Publishing

Hmotnosť

191

Rozmery

150 x 220 x 7

Kompletný 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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Parameter & Variable-Selection Uncertainty in Asset Allocation

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