Doctoral thesis

A robust bayesian approach to portfolio selection

  • Passarin, Katia
  • Ronchetti, Elvezio (degree supervisor)
  • Trojani, Fabio (degree committee member)
    22.07.2004

114 p

Thèse de doctorat: Università della Svizzera italiana, 2004 (jury note: Magna cum laude)

English This thesis aims at studying the local robustness properties of Bayesian posterior summaries and deriving a robust procedure to estimate Bayesian Mean-Variance weights in a portfolio selection problem. In the first part, we study the local robustness of Bayesian estimators. In particular, we build a framework wherein any Bayesian quantity can be seen as a posterior functional. In this way it... Show more…
Language
  • English
Classification
Economics
License
License undefined
Identifiers
Persistent URL
https://susi.usi.ch/usi/documents/318392