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

Parameter & Variable-Selection Uncertainty in Asset Allocation

Autor: Marios Lioutas
Język: Angielski
Oprawa: Miękka
Wydawca: LAP Lambert Academic Publishing
Dostępność: Dostępna u dostawcy
Wysyłamy za 5-8 dni
183.02 zł
This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio...

Informacje o książce

Autor
Marios Lioutas
Język
Angielski
Oprawa
Książka - Miękka
Data wydania
2016
strony
116
EAN
9783659953804
Enbook ID
15201219
Wydawca
LAP Lambert Academic Publishing
Waga
191
Wymiary
150 x 220 x 7

Pełny opis

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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