Contatto
Come acquistare
Consegna
Guida all'acquisto
Parameter & Variable-Selection Uncertainty in Asset Allocation
Inglese
101 b
Fino a 30 giorni per il reso
I clienti hanno acquistato anche
/
In brossura
29.89
€
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.
Informazioni sul libro
Inglese
Regala questo libro oggi stesso
È facile
1 Aggiungi il libro al carrello e scegli la consegna come regalo 2 Ti invieremo subito il buono 3 Il libro arriverà all'indirizzo del destinatarioPotrebbe interessarti anche
/
In brossura
53.89
€
/
In brossura
41.39
€
Ciao! Sono Libroamiko, il tuo consulente di libri.
Come posso aiutarti?