Portfolio Selection Based on Bayesian Theory

doi:10.1155/2019/4246903

CSpace

	Portfolio Selection Based on Bayesian Theory
	Zhao, Daping 1; Fang, Yong 2; Zhang, Chaoliang 3; Wang, Zongrun 4
	2019-10-20
发表期刊	MATHEMATICAL PROBLEMS IN ENGINEERING
ISSN	1024-123X
卷号	2019 页码:11
摘要	The traditional portfolio selection model seriously overestimates its theoretic optimal return. Aiming at this problem, two portfolio selection models are proposed to modify the parameters and enhance portfolio performance based on Bayesian theory. Firstly, a Bayesian-GARCH(1,1) model is built. Secondly, Markov Chain is applied to curve the parameters' state transfer, and a Bayesian Markov regime-Switching-GARCH(1,1) model is constructed. Both the two models can handle the overestimation problem and can obtain self-financing portfolios. In the numerical experiments, both the models are examined with data from China stock market, and their performances are compared and analyzed. The results show that BMS-GARCH(1,1) model is superior to the Bayesian-GARCH(1,1) model.
DOI	10.1155/2019/4246903
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71271201] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[71701138]
WOS研究方向	Engineering ; Mathematics
WOS类目	Engineering, Multidisciplinary ; Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000497360100005
出版者	HINDAWI LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/50381
专题	中国科学院数学与系统科学研究院
通讯作者	Fang, Yong
作者单位	1.Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China 3.Founder Fubon Fund Co, Beijing 100037, Peoples R China 4.Cent S Univ, Business Sch, Changsha 410083, Hunan, Peoples R China
推荐引用方式 GB/T 7714	Zhao, Daping,Fang, Yong,Zhang, Chaoliang,et al. Portfolio Selection Based on Bayesian Theory[J]. MATHEMATICAL PROBLEMS IN ENGINEERING,2019,2019:11.
APA	Zhao, Daping,Fang, Yong,Zhang, Chaoliang,&Wang, Zongrun.(2019).Portfolio Selection Based on Bayesian Theory.MATHEMATICAL PROBLEMS IN ENGINEERING,2019,11.
MLA	Zhao, Daping,et al."Portfolio Selection Based on Bayesian Theory".MATHEMATICAL PROBLEMS IN ENGINEERING 2019(2019):11.