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Abstract

Departure from normality poses implementation barriers to the Markowitz mean-variance portfolio selection. When assets are affected by common and idiosyncratic shocks, the distribution of asset returns may exhibit Markov switching regimes and have a Gaussian mixture distribution conditional on each regime. The model is estimated in a Bayesian framework using the Gibbs sampler. An application to the global portfolio diversification is also discussed.



Item Type: MPRA Paper -

Original Title: Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model-

Language: English-

Keywords: Portfolio; Bayesian; Hidden Markov Model; Gaussian Mixture-

Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment DecisionsC - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General-





Autor: Qian, Hang

Fuente: https://mpra.ub.uni-muenchen.de/35561/







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