中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
Portfolio Selection Based on Bayesian Theory

文献类型：期刊论文

作者Zhao, Daping3; Fang, Yong4; Zhang, Chaoliang1; Wang, Zongrun2
刊名MATHEMATICAL PROBLEMS IN ENGINEERING
出版日期2019-10-20
卷号2019页码:11
ISSN号1024-123X
DOI10.1155/2019/4246903
英文摘要The traditional portfolio selection model seriously overestimates its theoretic optimal return. Aiming at this problem, two portfolio selection models are proposed to modify the parameters and enhance portfolio performance based on Bayesian theory. Firstly, a Bayesian-GARCH(1,1) model is built. Secondly, Markov Chain is applied to curve the parameters' state transfer, and a Bayesian Markov regime-Switching-GARCH(1,1) model is constructed. Both the two models can handle the overestimation problem and can obtain self-financing portfolios. In the numerical experiments, both the models are examined with data from China stock market, and their performances are compared and analyzed. The results show that BMS-GARCH(1,1) model is superior to the Bayesian-GARCH(1,1) model.
资助项目National Natural Science Foundation of China[71271201] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[71701138]
WOS研究方向Engineering ; Mathematics
语种英语
WOS记录号WOS:000497360100005
出版者HINDAWI LTD
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/50380]  
专题中国科学院数学与系统科学研究院
通讯作者Fang, Yong
作者单位1.Founder Fubon Fund Co, Beijing 100037, Peoples R China
2.Cent S Univ, Business Sch, Changsha 410083, Hunan, Peoples R China
3.Capital Univ Econ & Business, Sch Finance, Beijing 100070, Peoples R China
4.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Zhao, Daping,Fang, Yong,Zhang, Chaoliang,et al. Portfolio Selection Based on Bayesian Theory[J]. MATHEMATICAL PROBLEMS IN ENGINEERING,2019,2019:11.
APA Zhao, Daping,Fang, Yong,Zhang, Chaoliang,&Wang, Zongrun.(2019).Portfolio Selection Based on Bayesian Theory.MATHEMATICAL PROBLEMS IN ENGINEERING,2019,11.
MLA Zhao, Daping,et al."Portfolio Selection Based on Bayesian Theory".MATHEMATICAL PROBLEMS IN ENGINEERING 2019(2019):11.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。