PL EN


2009 | 56 | 1 | 40-55
Article title

BAYESIAN PORTFOLIO SELECTION WITH MSV MODELS

Authors
Title variants
Languages of publication
EN
Abstracts
EN
In the paper the authoress compares the predictive ability of discrete-time Multivariate Stochastic Volatility (MSV) models to optimal portfolio choice. She considers MSV models, which differ in the structure of the conditional covariance matrix (including the specifications with zero, constant and time-varying conditional correlations). Next, she constructs the optimal portfolio under the assumption that the asset returns are described by the multivariate stochastic volatility models. The authoress considers hypothetical portfolios, which consist of two currencies that were the most important for the Polish economy: the US dollar and euro. In the optimization process she uses the predictive distributions of future returns and the predictive conditional covariance matrix obtained from the MSV models.
Year
Volume
56
Issue
1
Pages
40-55
Physical description
Document type
ARTICLE
Contributors
author
  • Anna Pajor, Uniwersytet Ekonomiczny w Krakowie, Katedra Ekonometrii, ul. Rakowicka 27, 31-510 Kraków, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
09PLAAAA070116
YADDA identifier
bwmeta1.element.80b86030-d7eb-3837-af5d-37a7e4bc07a4
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