Statistical Papers

, Volume 46, Issue 4, pp 523–540 | Cite as

An application of a minimax Bayes rule and shrinkage estimators to the portofolio selection problem under the Bayesian approach

  • Hiroyuki Kashima


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 words

portfolio selection problem maximization of expected utility Bayesian approach minimax Bayes rule shrinkage estimator 


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Copyright information

© Springer-Verlag 2005

Authors and Affiliations

  • Hiroyuki Kashima
    • 1
  1. 1.School of ManagementAoyama Gakuin UniversityTokyoJapan

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