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Parameter & Variable-Selection Uncertainty in Asset Allocation

Name: Parameter & Variable-Selection Uncertainty in Asset Allocation
Brand: LAP Lambert Academic Publishing
SKU: 15201219
Price: 46.59 EUR
Availability: InStock
Author: Marios Lioutas
ISBN: 9783659953804

Marios Lioutas

Lingua

Inglese

Libro In brossura

Codice Libristo: 15201219

Casa editrice LAP Lambert Academic Publishing, novembre 2015

This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio... Descrizione completa

Codice Libristo: 15201219

114 b

46.59 €

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This book focuses on the problem of finding the optimal allocation strategy in a financial portfolio, using an econometric point of view. Its main contribution is the investigation of a new Bayesian approach for the portfolio choice. Markov Chain Monte Carlo (MCMC) algorithm, recently proposed in the Bayesian literature, is introduced and applied for a decision-theoretic approach of the optimal weight asset allocation strategy. In particular, the Gibbs sampler proposed by Korobilis (2013) is used in order to estimate the parameters of econometric models for finding the optimal portfolio of an investor. The proposed approach, except for the parameter uncertainty, takes into account the variable-selection uncertainty. More precisely, a computationally efficient algorithm for variable selection is proposed and the approach is compared with the ones in the relevant econometric literature for a managed decision-theoretic portfolio construction.