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20172024
most citedConsistent Estimation of the High-Dimensional Efficient Frontier

3 citations · 4 across the 4 of their papers we have counts for

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Showing 2020Show all

1 paper · 1 filter

q-fin.PM2020

Bayesian Quantile-Based Portfolio Selection

Taras Bodnar, Mathias Lindholm, Vilhelm Niklasson +1

We study the optimal portfolio allocation problem from a Bayesian perspective using value at risk (VaR) and conditional value at risk (CVaR) as risk measures. By applying the poste…