Dealing with Drift Uncertainty: A Bayesian Learning Approach
One of the main challenges investors have to face is model uncertainty. Typically, the dynamic of the assets is modeled using two parameters: the drift vector and the covariance matrix, which are both uncertain. Since the variance/covariance parameter is assumed to be estimated with a certain level...
Main Authors: | Carmine De Franco, Johann Nicolle, Huyên Pham |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2019-01-01
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Series: | Risks |
Subjects: | |
Online Access: | http://www.mdpi.com/2227-9091/7/1/5 |
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