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Bayesian estimation of the efficient frontier
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
Rekke forfattare: 42019 (engelsk)Inngår i: Scandinavian Journal of Statistics, ISSN 0303-6898, E-ISSN 1467-9469, Vol. 46, nr 3, s. 802-830Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

In this paper, we consider the estimation of the three determining parameters of the efficient frontier, the expected return, and the variance of the global minimum variance portfolio and the slope parameter, from a Bayesian perspective. Their posterior distribution is derived by assigning the diffuse and the conjugate priors to the mean vector and the covariance matrix of the asset returns and is presented in terms of a stochastic representation. Furthermore, Bayesian estimates together with the standard uncertainties for all three parameters are provided, and their asymptotic distributions are established. All obtained findings are applied to real data, consisting of the returns on assets included into the S&P 500. The empirical properties of the efficient frontier are then examined in detail.

sted, utgiver, år, opplag, sider
2019. Vol. 46, nr 3, s. 802-830
Emneord [en]
Bayesian estimation, credible set, efficient frontier, parameter uncertainty, stochastic presentation
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-173099DOI: 10.1111/sjos.12372ISI: 000479058100006OAI: oai:DiVA.org:su-173099DiVA, id: diva2:1357732
Tilgjengelig fra: 2019-10-04 Laget: 2019-10-04 Sist oppdatert: 2019-10-04bibliografisk kontrollert

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