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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Schöttle, K.; Werner, R.; Zagst,R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Robustification of Bayesian Portfolio Allocation 
Abstract:
In this paper, we have investigated how portfolio allocations from the traditional mean-variance framework compare against Bayesian portfolio compositions. We show that the Bayesian allocation should always be preferred over the traditional mean-variance allocation for its improved out-ofsample performance and its more reliable prediction of the latter. Supplementing previous investigations on robust mean-variance optimization and the brief study by Meucci (2005), we provide to our best knowledg...    »
 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
Rethinking Risk Measurement and Reporting 
Jahr:
2010 
Seitenangaben Beitrag:
829-854 
Reviewed:
ja 
Sprache:
en 
Verlag / Institution:
Risk Books 
Status:
Verlagsversion / published 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein