Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/244534
Authors: 
Bauder, David
Bodnar, Taras
Mazur, Stepan
Okhrin, Yarema
Year of Publication: 
2018
Series/Report no.: 
Working Paper No. 2/2018
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper we consider the estimation of the weights of tangent portfolios from the Bayesian point of view assuming normal conditional distributions of the logarithmic returns. For di↵use and conjugate priors for the mean vector and the covariance matrix, we derive stochastic representations for the posterior distributions of the weights of tangent portfolio and their linear combinations. Separately we provide the mean and variance of the posterior distributions, which are of key importance for portfolio selection. The analytic results are evaluated within a simulation study, where the precision of coverage intervals is assessed.
Subjects: 
asset allocation
tangent portfolio
Bayesian analysis
JEL: 
C10
C44
Document Type: 
Working Paper

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