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BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.ORCID-id: 0000-0001-7855-8221
2018 (engelsk)Inngår i: International Journal of Theoretical and Applied Finance, ISSN 0219-0249, Vol. 21, nr 8, artikkel-id 1850054Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

In this paper, we consider the estimation of the weights of tangent portfolios from the Bayesian point of view assuming normal conditional distributions of the logarithmic returns. For diffuse and conjugate priors for the mean vector and the covariance matrix, we derive stochastic representations for the posterior distributions of the weights of tangent portfolio and their linear combinations. Separately, we provide the mean and variance of the posterior distributions, which are of key importance for portfolio selection. The analytic results are evaluated within a simulation study, where the precision of coverage intervals is assessed.

sted, utgiver, år, opplag, sider
2018. Vol. 21, nr 8, artikkel-id 1850054
Emneord [en]
Asset allocation, tangent portfolio, Bayesian analysis, diffuse and conjugate priors, stochastic representation
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-165225DOI: 10.1142/S0219024918500541ISI: 000455592700006OAI: oai:DiVA.org:su-165225DiVA, id: diva2:1281650
Tilgjengelig fra: 2019-01-22 Laget: 2019-01-22 Sist oppdatert: 2019-02-04bibliografisk kontrollert

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