Multiperiod Portfolio Selection and Bayesian Dynamic Models

Risk, Vol. 28, Issue 3, p 50-54, March 2015

8 Pages Posted: 28 Jul 2014 Last revised: 4 Dec 2017

See all articles by Petter N. Kolm

Petter N. Kolm

New York University (NYU) - Courant Institute of Mathematical Sciences

Gordon Ritter

New York University (NYU) - Courant Institute of Mathematical Sciences; City University of New York - Weissman School of Arts and Sciences; Rutgers, The State University of New Jersey - Financial Statistics & Risk Management; New York University (NYU) - NYU Tandon School of Engineering

Date Written: September 22, 2014

Abstract

Techniques inspired by Bayesian statistics provide an elegant solution to the classic investment problem of optimally planning a sequence of trades in the presence of transaction costs.

Keywords: Portfolio optimization, Transaction costs, Bayesian statistics, Markov models

JEL Classification: G11, C61, C11

Suggested Citation

Kolm, Petter N. and Ritter, Gordon, Multiperiod Portfolio Selection and Bayesian Dynamic Models (September 22, 2014). Risk, Vol. 28, Issue 3, p 50-54, March 2015. Available at SSRN: https://ssrn.com/abstract=2472768 or http://dx.doi.org/10.2139/ssrn.2472768

Petter N. Kolm

New York University (NYU) - Courant Institute of Mathematical Sciences ( email )

251 Mercer Street
New York, NY 10012
United States

Gordon Ritter (Contact Author)

New York University (NYU) - Courant Institute of Mathematical Sciences ( email )

New York University
251 Mercer Street
New York, NY 10012
United States

City University of New York - Weissman School of Arts and Sciences ( email )

One Bernard Baruch Way
New York, NY 10010
United States

Rutgers, The State University of New Jersey - Financial Statistics & Risk Management ( email )

110 Frelinghuysen Road
479 Hill Center, Busch Campus
Piscataway, NJ 08854
United States

New York University (NYU) - NYU Tandon School of Engineering ( email )

6 MetroTech Center
Brooklyn, NY 11201
United States

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