most citedA Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data

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q-fin.PM2021★ 2 cited

A Bayesian Graphical Approach for Large-Scale Portfolio Management with Fewer Historical Data

Sakae Oya

Managing a large-scale portfolio with many assets is one of the most challenging tasks in the field of finance. It is partly because estimation of either covariance or precision ma…