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Portfolio Selection with a Bayesian Approach

De Capretz, Martin LU (2015) STAH11 20142
Department of Statistics
Abstract
This paper deals with a traditional method for creating portfolios of financial assets known as the mean-variance portfolio theory and especially a specific case of the theory known as the global minimum variance portfolio.
A disadvantage with many of the models that exist within portfolio theory is that they do often only consider a few quantified variables in the calculations and this could cause problems in areas such as finance where a lot of the information regarding investments can be difficult to quantify into numbers.
In the paper Bayesian statistical methods are used to try to implement the beliefs of an investor and by testing and evaluate different approaches examine if it is possible to find a method that take both... (More)
This paper deals with a traditional method for creating portfolios of financial assets known as the mean-variance portfolio theory and especially a specific case of the theory known as the global minimum variance portfolio.
A disadvantage with many of the models that exist within portfolio theory is that they do often only consider a few quantified variables in the calculations and this could cause problems in areas such as finance where a lot of the information regarding investments can be difficult to quantify into numbers.
In the paper Bayesian statistical methods are used to try to implement the beliefs of an investor and by testing and evaluate different approaches examine if it is possible to find a method that take both calculated variables and an investor’s beliefs into account. (Less)
Please use this url to cite or link to this publication:
author
De Capretz, Martin LU
supervisor
organization
course
STAH11 20142
year
type
M2 - Bachelor Degree
subject
keywords
portfolio selection Bayesian statistics mean-variance
language
English
id
5155710
date added to LUP
2015-04-01 14:08:39
date last changed
2015-04-01 14:08:39
@misc{5155710,
  abstract     = {This paper deals with a traditional method for creating portfolios of financial assets known as the mean-variance portfolio theory and especially a specific case of the theory known as the global minimum variance portfolio. 
A disadvantage with many of the models that exist within portfolio theory is that they do often only consider a few quantified variables in the calculations and this could cause problems in areas such as finance where a lot of the information regarding investments can be difficult to quantify into numbers.
In the paper Bayesian statistical methods are used to try to implement the beliefs of an investor and by testing and evaluate different approaches examine if it is possible to find a method that take both calculated variables and an investor’s beliefs into account.},
  author       = {De Capretz, Martin},
  keyword      = {portfolio selection Bayesian statistics mean-variance},
  language     = {eng},
  note         = {Student Paper},
  title        = {Portfolio Selection with a Bayesian Approach},
  year         = {2015},
}