Essays about: "portfolio selection Bayesian statistics mean-variance"

Found 2 essays containing the words portfolio selection Bayesian statistics mean-variance.

1. 1. Dynamic Covariance Modelling Using Generalised Wishart Processes

   University essay from Lunds universitet/Matematisk statistik

   Author : Fredrik Nilsson; [2023]
   Keywords : Covariance matrix; generalised Wishart process; Bayesian inference; Markov chain Monte Carlo; Hamiltonian Monte Carlo; Mathematics and Statistics;

   Abstract : Modern portfolio theory was pioneered by Markowitz who formulated the mean-variance problem, without which any discussion on quantitative approaches to portfolio selection would be incomplete. The framework boils down to finding the expected return $\mu$ and covariance $\Sigma$, after which the solution is proportional to $\Sigma^{-1}\mu$. READ MORE

3. 2. Portfolio Selection with a Bayesian Approach

   University essay from Lunds universitet/Statistiska institutionen

   Author : Martin De Capretz; [2015]
   Keywords : portfolio selection Bayesian statistics mean-variance; Mathematics and 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. READ MORE