Portfolio Selection under Uncertainty

Radu Tunaru

Chapter 6 in Model Risk in Financial Markets:From Financial Engineering to Risk Management, 2015, pp 115-127 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Introduction to Model Risk for Portfolio AnalysisBayesian Averaging for Portfolio AnalysisEmpirical Bayes priorsMarginal likelihood calculationsPortfolio OptimizationPortfolio optimisation with stochastic interest ratesStochastic market price of riskStochastic volatilityNotes and Summary

Keywords: Model Risk; Risk Management; Financial Engineering; Financial Markets (search for similar items in EconPapers)
Date: 2015
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