BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
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DOI：
10.1142/s0219024918500541
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发表时间：
2018-12-01
影响因子：
0.5
通讯作者：
Okhrin, Yarema
中科院分区：
文献类型：
--
作者：
Bauder, David;Bodnar, Taras;Okhrin, Yarema
在本文中，我们从贝叶斯的角度考虑正切投资组合权重的估计，假设对数收益的正态条件分布。对于均值向量和协方差矩阵的扩散先验和共轭先验，我们得到了正切投资组合及其线性组合权重的后验分布的随机表示。我们分别给出了后验分布的均值和方差，这对投资组合的选择是至关重要的。在模拟研究中对分析结果进行了评估，其中评估了覆盖间隔的精度。
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.