An improvement of the Parameter Certainty Equivalence method in portfolio selection

被引：2
|
作者：
Kashima H. [1 ]
机构：
[1] IBJ-DL Financial Technology, Chiyoda-Ku, Tokyo 100-0004, 5-1
来源：
Asia-Pacific Financial Markets | 2001年 / 8卷 / 1期
关键词：
Bayesian approach; Expected utility; Parameter Certainty Equivalence; Portfolio selection;
D O I：
10.1023/A:1011488924784
中图分类号：
学科分类号：
摘要：
This paper discusses an improvement of the Parameter Certainty Equivalence method in portfolio selection. Specifically, we derive methods of portfolio selection that are superior to the Parameter Certainty Equivalence method from the viewpoint of maximizing expected utility. We additionally derive such a method from the Bayesian approach. © 2001 Kluwer Academic Publishers.
引用
收藏
页码：35 / 43
页数：8
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