Bayesian Methods in Multiperiod Financial Decision Making

Peter Kischka
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Peter Kischka: Universität Karlsruhe

A chapter in Probability and Bayesian Statistics, 1987, pp 295-303 from Springer

Abstract: Abstract Bayesian methods are applied in financial decision making in order to incorporate estimation risk and/or to incorporate subjective elements in the decision process. In both cases it is assumed, that the distributions of the rates of return depend on some parameter and there is a diffuse or an informative prior distribution for this parameter.From a decision theoretic point of view this approach is justified in Klein et al. (1978), the strong economic reasins to do so are demonstrated e.g. in Bawa et al. (1979), Kischka (1984).

Keywords: Utility Function; Risk Aversion; Planning Horizon; Optimal Portfolio; Risky Asset (search for similar items in EconPapers)
Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-1885-9_31

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DOI: 10.1007/978-1-4613-1885-9_31

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