publication . Doctoral thesis . 2007

Essays on portfolio choice with Bayesian methods

Kebabci, Deniz;
Open Access
  • Published: 01 Jan 2007
  • Publisher: eScholarship, University of California
  • Country: United States
Abstract
How investors should allocate assets to their portfolios in the presence of predictable components in asset returns is a question of great importance in finance. While early studies took the return generating process as given, recent studies have addressed issues such as parameter estimation and model uncertainty. My dissertation develops Bayesian methods for portfolio choice - and industry allocation in particular - under parameter and model uncertainty. The first chapter of my dissertation, Allocation to Industry Portfolios under Markov Switching Returns, addresses the effect of parameter estimation error on the relation between asset holdings and the investme...
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