BAYESIAN PORTFOLIO SELECTION WITH MSV MODELS

• Autorzy: Pajor Anna
• Języki publikacji: EN

Abstrakty

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.

Słowa kluczowe

EN

BAYESIAN ANALYSIS; MULTIVARIATE STOCHASTIC VOLATILITY MODELS; PORTFOLIO ANALYSIS

• Wydawca: Główny Urząd Statystyczny
• Czasopismo: Przegląd Statystyczny
• Rocznik: 2009
• Tom: 56
• Numer: 1
• Strony: 40-55
• Rodzaj publikacji: ARTICLE

Twórcy

autor

Pajor Anna

• Anna Pajor, Uniwersytet Ekonomiczny w Krakowie, Katedra Ekonometrii, ul. Rakowicka 27, 31-510 Kraków, Poland

Identyfikatory

CEJSH db identifier

09PLAAAA070116