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: 16 Mar 2021
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: Suggested Citation
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