13 citations · 22 across the 2 of their papers we have counts for
2 papers
q-fin.ST2018★ 13 cited
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty
David Bauder, Taras Bodnar, Nestor Parolya +1
The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have…
math.ST2017★ 9 cited
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
David Bauder, Taras Bodnar, Nestor Parolya +1
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informat…