1. Optimización robusta de portafolio empleando métodos bayesianos.
- Author
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Carmona Espejo, Diego Felipe and Gamboa Hidalgo, Jhonata
- Subjects
- *
DISTRIBUTION (Probability theory) , *ROBUST optimization , *GAMMA distributions , *GAMMA functions , *GENERALIZATION - Abstract
In this paper we implemented a Bayesian robust optimization model to select an optimal investment portfolio. To do that, we extended the model developed by Meucci, which consists of incorporating the Bayesian approach into the robust portfolio model in order to define an ellipsoidal-type uncertainty set under an Inverse Wishart Distribution. Thus, the uncertainty of the estimated parameters for create the robust counterpart in the portfolio model. The proposed model uses a Gamma distribution function, as a generalization of the Wishart function. Results confirm Meucci's conclusions and, it corroborates the properties attributed to those portfolios. [ABSTRACT FROM AUTHOR]
- Published
- 2021
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