Search Results for author: David Bauder

Found 1 papers, 0 papers with code

Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty

no code implementations9 Mar 2018 David Bauder, Taras Bodnar, Nestor Parolya, Wolfgang Schmid

The parameters of the posterior predictive distributions are functions of the observed data values and, consequently, the solution of the optimization problem is expressed in terms of data only and does not depend on unknown quantities.

Statistical Finance Portfolio Management

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