Arbeitspapier
Bayesian inference for the tangent portfolio
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 di↵use 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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2/2018
- Classification
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Operations Research; Statistical Decision Theory
- Subject
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asset allocation
tangent portfolio
Bayesian analysis
- Event
-
Geistige Schöpfung
- (who)
-
Bauder, David
Bodnar, Taras
Mazur, Stepan
Okhrin, Yarema
- Event
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Veröffentlichung
- (who)
-
Örebro University School of Business
- (where)
-
Örebro
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bauder, David
- Bodnar, Taras
- Mazur, Stepan
- Okhrin, Yarema
- Örebro University School of Business
Time of origin
- 2018
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