Multiperiod Portfolio Selection and Bayesian Dynamic Models

Kolm, Petter N.; Ritter, Gordon

doi:10.2139/ssrn.2472768

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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

See all articles by Petter N. Kolm

Petter N. Kolm

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

New York University (NYU) - Courant Institute of Mathematical Sciences; City University of New York (CUNY) - Weissman School of Arts and Sciences; Columbia University - Department of Mathematics; Cornell University - Cornell Tech NYC; University of Chicago - Department of Mathematics

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

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