Bayesian estimation of the global minimum variance portfolio.

Taras Bodnar Stepan Mazur Yarema Okhrin

Published in: Eur. J. Oper. Res. (2017)

Keyphrases

bayesian estimation
global minimum
cost function
energy function
simulated annealing
energy minimization
global optimum
global minima
posterior distribution
probabilistic model
metaheuristic