An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach

This paper shows that a minimax Bayes rule and shrinkage estimators can be effectively applied to portfolio selection under the Bayesian approach. Specifically, it is shown that the portfolio selection problem can result in a statistical decision problem in some situations. Following that, we presen...

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Bibliographic Details
Published in:Statistical papers (Berlin, Germany) Germany), 2005-10, Vol.46 (4), p.523-540
Main Author: Kashima, Hiroyuki
Format: Article
Language:English
Subjects:
Bayesian analysis
Estimating techniques
Estimators
Minimax technique
Portfolio management
Problem solving
Studies
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Summary:This paper shows that a minimax Bayes rule and shrinkage estimators can be effectively applied to portfolio selection under the Bayesian approach. Specifically, it is shown that the portfolio selection problem can result in a statistical decision problem in some situations. Following that, we present a method for solving a problem involved in portfolio selection under the Bayesian approach. [PUBLICATION ABSTRACT]
ISSN:0932-5026
1613-9798
DOI:10.1007/BF02763003