On the Estimation of the Global Minimum Variance Portfolio
نویسندگان
چکیده
منابع مشابه
Bayesian estimation of the global minimum variance portfolio
In this paper we consider the estimation of the weights of optimal portfolios from the Bayesian point of view under the assumption that the conditional distribution of the logarithmic returns is normal. Using the standard priors for the mean vector and the covariance matrix, we derive the posterior distributions for the weights of the global minimum variance portfolio. Moreover, we reparameteri...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.385760