Constructing Bayesian tangency portfolios under short-selling restrictions-Reference-Cited by-同舟云学术

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Constructing Bayesian tangency portfolios under short-selling restrictions

Published:2024-04 Issue: Volume:62 Page:105065
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Bodnar Olha^ORCID,Bodnar Taras^ORCID,Niklasson Vilhelm

Publisher

Elsevier BV

Reference40 articles.

1. PyMC: a modern, and comprehensive probabilistic programming framework in Python;Abril-Pla;PeerJ Comput. Sci.,2023

2. Bayesian portfolio analysis;Avramov;Annu. Rev. Finan. Econ.,2010

3. The sharpe ratio efficient frontier;Bailey;J. Risk,2012

4. Bayesian inference for the tangent portfolio;Bauder;Int. J. Theor. Appl. Finance,2018

5. Estimation Risk and Optimal Portfolio Choice;Bawa,1979

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1. Robust Reward-Risk-Adjusted Portfolio Selection with Efficient Bayesian Neural Network;2024

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