Portfolio selection under parameter uncertainty using a predictive distribution

被引：0

作者：

Im, Ji Jung ^{[1
]}

Lim, Hyun Soo ^{[1
]}

Choi, Sung Sub ^{[1
]}

机构：

[1] Pohang Univ Sci & Technol, Dept Math, Pohang 790784, South Korea

来源：

ANNALS OF ECONOMICS AND FINANCE | 2007年 / 8卷 / 02期

关键词：

portfolio selection; parameter uncertainty; estimation error; Bayesian framework; predictive distribution; generalized hyperbolic distribution; utility function; utility restoration ratio;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution incorporates uncertainties in mean and volatility of market returns. We then select an optimal portfolio with expected utility calculated tinder the predictive distribution. We demonstrate the performance of the new approach by applying it to simulated and real market data.

引用

页码：301 / 312

页数：12

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