1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.ST2015
Sparse Mean-Variance Portfolios: A Penalized Utility Approach
David Puelz, P. Richard Hahn, Carlos M. Carvalho
This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian in…
stat.ME2014★ 1 cited
Decoupling shrinkage and selection in Bayesian linear models: a posterior summary perspective
P. Richard Hahn, Carlos M. Carvalho
Selecting a subset of variables for linear models remains an active area of research. This paper reviews many of the recent contributions to the Bayesian model selection and shrink…