Bayesian portfolio selection using VaR and CVaR.

Taras Bodnar Mathias Lindholm Vilhelm Niklasson Erik Thorsén

Published in: Appl. Math. Comput. (2022)

Keyphrases

portfolio selection
robust optimization
risk measures
portfolio optimization
multistage stochastic
decision theory
mathematical programming
portfolio management
stochastic programming
maximum likelihood
multiple objectives
bayesian networks
lot sizing
optimal portfolio
expert systems
non stationary