Analysis of the conditional stock-return distribution under incomplete specification
Article Abstract:
The analysis of distribution of the stock-returns plays an important role in financial theory since a distributional assumption is required for mean-variance portfolio theory. Different bootstrap mechanisms for comparing the goodness-of-fit of several functions of several functional forms postulated under the null hypothesis for individual Spanish stocks and for General Index of the Madrid Stock market is designed.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2004
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Bayesian portfolio selection with multi-variate random variance models
Article Abstract:
Solution for multi-period portfolio selection problem is derived using Bayesian processes and dynamic programming.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2006
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An interval portfolio selection problem based on regret function
Article Abstract:
Interval analysis method is used to solve the problems of uncertainty in decision making for portfolio selection.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2006
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