Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 2 of 2 for “"Bayesian asset allocation"”.
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Skew Normal Bayesian Asset Allocation
<p>This dissertation explores a Bayesian asset allocation problem based on the skew-normal distribution assumption and extends the Bayesian asset allocation model obtained by assuming hidden truncation skew-normal returns. Hidden truncation model provides a flexible family of skewed alternatives to …
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Robust Bayesian Portfolio Optimisation: Higher Moments and the Distorting Effects of Constraints
The aim of this thesis is to introduce the Bayesian approach to asset allocation. In particular, the Black-Litterman model is introduced as a powerful Bayesian asset allocation model that enables the incorporation of human decision making (in the form of views) within a portfolio optimisation …