Bayesian Statistics最新文献

筛选
英文 中文
A Bayesian Information Criterion for Portfolio Selection 投资组合选择的贝叶斯信息准则
Bayesian Statistics Pub Date : 2011-05-08 DOI: 10.2139/ssrn.1863631
Wei Lan, Hansheng Wang, Chih-Ling Tsai
{"title":"A Bayesian Information Criterion for Portfolio Selection","authors":"Wei Lan, Hansheng Wang, Chih-Ling Tsai","doi":"10.2139/ssrn.1863631","DOIUrl":"https://doi.org/10.2139/ssrn.1863631","url":null,"abstract":"The mean-variance theory of Markowitz (1952) indicates that large investment portfolios naturally provide better risk diversification than small ones. However, due to parameter estimation errors, one may find ambiguous results in practice. Hence, it is essential to identify relevant stocks to alleviate the impact of estimation error in portfolio selection. To this end, we propose a linkage condition to link the relevant and irrelevant stock returns via their conditional regression relationship. Subsequently, we obtain a BIC selection criterion that enables us to identify relevant stocks consistently. Numerical studies indicate that BIC outperforms commonly used portfolio strategies in the literature.","PeriodicalId":105994,"journal":{"name":"Bayesian Statistics","volume":"169 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122621456","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信