Portfolio Selection Based on Bayesian Theory

Author:

Zhao Daping1ORCID,Fang Yong2ORCID,Zhang Chaoliang3,Wang Zongrun4

Affiliation:

1. School of Finance, Capital University of Economics and Business, Beijing 100070, China

2. Institute of Systems Science, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing 100190, China

3. Founder Fubon Fund Company, Beijing 100037, China

4. Business School, Central South University, Changsha, Hunan Province 410083, China

Abstract

The traditional portfolio selection model seriously overestimates its theoretic optimal return. Aiming at this problem, two portfolio selection models are proposed to modify the parameters and enhance portfolio performance based on Bayesian theory. Firstly, a Bayesian-GARCH(1,1) model is built. Secondly, Markov Chain is applied to curve the parameters’ state transfer, and a Bayesian Markov regime-Switching-GARCH(1,1) model is constructed. Both the two models can handle the overestimation problem and can obtain self-financing portfolios. In the numerical experiments, both the models are examined with data from China stock market, and their performances are compared and analyzed. The results show that BMS-GARCH(1,1) model is superior to the Bayesian-GARCH(1,1) model.

Funder

National Natural Science Foundation of China

Publisher

Hindawi Limited

Subject

General Engineering,General Mathematics

Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. The time-varying spillover effect of China’s stock market during the COVID-19 pandemic;Physica A: Statistical Mechanics and its Applications;2022-10

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3