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

Parameter & Variable-Selection Uncertainty in Asset Allocation

Autor: Marios Lioutas
Limbă: engleză
Legare: Carte broșată
Editura: LAP Lambert Academic Publishing
Disponibilitate: În depozitul extern
Expediem în 5-8 zile
239.50 lei
This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio...

Informații despre carte

Autor
Marios Lioutas
Limbă
engleză
Legare
Carte - Carte broșată
Publicat
2016
Pagini
116
EAN
9783659953804
Enbook ID
15201219
Editura
LAP Lambert Academic Publishing
Greutate
191
Dimensiuni
150 x 220 x 7

Descriere completă

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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