Portfolio Selection Based on Bayesian Theory
Joint Authors
Zhang, Chaoliang
Wang, Zongrun
Zhao, Daping
Fang, Yong
Source
Mathematical Problems in Engineering
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-10-20
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Zhao, Daping& Fang, Yong& Zhang, Chaoliang& Wang, Zongrun. 2019. Portfolio Selection Based on Bayesian Theory. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-11.
https://search.emarefa.net/detail/BIM-1195542
Modern Language Association (MLA)
Zhao, Daping…[et al.]. Portfolio Selection Based on Bayesian Theory. Mathematical Problems in Engineering No. 2019 (2019), pp.1-11.
https://search.emarefa.net/detail/BIM-1195542
American Medical Association (AMA)
Zhao, Daping& Fang, Yong& Zhang, Chaoliang& Wang, Zongrun. Portfolio Selection Based on Bayesian Theory. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-11.
https://search.emarefa.net/detail/BIM-1195542
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195542
