RESAMPLED FRONTIERS VERSUS DIFFUSE BAYES: AN EXPERIMENT

Harry Markowitz and Nilufer Usmen
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Nilufer Usmen: School of Business, Montclair State University, Upper Montclair, New Jersey, USA

Chapter 9 in The World of Risk Management, 2005, pp 183-202 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Referee and The GameThe Michaud PlayerThe Diffuse Bayes PlayerBasicsDiffuse PriorsImportance SamplingResultsQuestionsConclusionsAcknowledgmentNotesReferences

Keywords: Risk; Risk Analysis; Risk Management; Investment Management; Portfolio Management; Security Analysis; Asset Analysis (search for similar items in EconPapers)
Date: 2005
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