英文标题：
《Bayesian Inference of the Multi-Period Optimal Portfolio for an
Exponential Utility》
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作者：
David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid
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最新提交年份：
2017
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英文摘要：
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys\' non-informative prior and the conjugate informative prior, we derive stochastic representations for the optimal portfolio weights at each time point of portfolio reallocation. This provides a direct access not only to the posterior distribution of the portfolio weights but also to their point estimates together with uncertainties and their asymptotic distributions. Furthermore, we present the posterior predictive distribution for the investor\'s wealth at each time point of the investment period in terms of a stochastic representation for the future wealth realization. This in turn makes it possible to use quantile-based risk measures or to calculate the probability of default. We apply the suggested Bayesian approach to assess the uncertainty in the multi-period optimal portfolio by considering assets from the FTSE 100 in the weeks after the British referendum to leave the European Union. The behaviour of the novel portfolio estimation method in a precarious market situation is illustrated by calculating the predictive wealth, the risk associated with the holding portfolio, and the default probability in each period.
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中文摘要：
我们考虑了通过指数效用最大化得到的多期最优投资组合的估计。利用Jeffreys的非信息先验和共轭信息先验，我们推导出了在投资组合再分配的每个时间点的最优投资组合权重的随机表示。这不仅可以直接获得投资组合权重的后验分布，还可以直接获得投资组合权重的点估计、不确定性及其渐近分布。此外，我们根据未来财富实现的随机表示，给出了投资者在投资期每个时间点的财富后验预测分布。这反过来又使得使用基于分位数的风险度量或计算违约概率成为可能。我们采用建议的贝叶斯方法，通过考虑英国脱欧公投后几周富时100指数的资产，评估多期最优投资组合的不确定性。通过计算预测财富、与持有投资组合相关的风险以及每个时期的违约概率，说明了新的投资组合估计方法在不稳定市场情况下的行为。
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分类信息：

一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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