Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244534 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Working Paper No. 2/2018
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
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.
Schlagwörter: 
asset allocation
tangent portfolio
Bayesian analysis
JEL: 
C10
C44
Dokumentart: 
Working Paper

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