An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach
This paper shows that a minimax Bayes rule and shrinkage estimators can be effectively applied to portfolio selection under the Bayesian approach. Specifically, it is shown that the portfolio selection problem can result in a statistical decision problem in some situations. Following that, we present a method for solving a problem involved in portfolio selection under the Bayesian approach.
Key wordsportfolio selection problem maximization of expected utility Bayesian approach minimax Bayes rule shrinkage estimator
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