Bayesian inference of the multi-period optimal portfolio for an exponential utility.
David BauderTaras BodnarNestor ParolyaWolfgang SchmidPublished in: J. Multivar. Anal. (2020)
Keyphrases
- bayesian inference
- multi period
- optimal portfolio
- expected utility
- production planning
- facility location problem
- probabilistic model
- portfolio selection
- planning horizon
- routing problem
- lot sizing
- utility function
- prior information
- data envelopment analysis
- multi item
- particle filter
- decision theory
- total cost
- decision makers
- setup cost
- production cost
- multistage
- optimal strategy
- machine learning