Bayesian Regularization of the Tangency Portfolio

Olha Bodnar (), Taras Bodnar () and Vilhelm Niklasson ()
Additional contact information
Olha Bodnar: School of Business, Örebro University, Division of Statistics
Taras Bodnar: Linköping University, Department of Management and Engineering
Vilhelm Niklasson: Stockholm University, Department of Mathematics

A chapter in Recent Developments in Bayesian Econometrics and Their Applications, 2025, pp 197-221 from Springer

Abstract: Abstract In the chapter, two new priors, designed directly for the tangency portfolio weights, are developed. While the first approach is based on the extension of the Laplace prior, the second procedure generalizes the spike and slab prior. The posterior distributions of the tangency portfolio weights under both priors are characterized in terms of stochastic representations. These findings are used to establish exact sampling schemes for drawing samples of tangency portfolio weights from the corresponding posterior distributions, from which both the Bayesian point and interval estimators of the tangency portfolio weights are constructed.

Date: 2025
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-00110-8_9

Ordering information: This item can be ordered from
http://www.springer.com/9783032001108

DOI: 10.1007/978-3-032-00110-8_9

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().