Review of Financial Studies, May 2016, v. 29, iss. 5, pp. 1330-75

穩健的貝葉斯投資組合選擇

作者：Anderson, Evan W. (Northern IL U), Cheng, Ai-Ru (Northern IL U)

摘要：我們提出了一個貝葉斯平均投資組合選擇策略（Bayesian-averaging portfolio choice strategy），該策略有着非常好的樣本外表現。每個階段都會産生一個新的模型，它假設均值和方差一直不變。在每個階段，我們估計模型參數，更新模型概率，并且通過考慮模型的不确定性、參數的不确定性和不穩定性來計算穩健的投資組合選擇。相較于滾動窗口方案、1/N方法以及其他領先戰略，這種投資組合選擇策略在24個數據集的大部分中都實現了更高的樣本外夏普比率和确定等值。

Robust Bayesian Portfolio Choices

Anderson, Evan W. (Northern IL U), Cheng, Ai-Ru (Northern IL U)

ABSTRACT

We propose a Bayesian-averaging portfolio choice strategy with excellent out-of-sample performance. Every period a new model is born that assumes means and covariances are constant over time. Each period we estimate model parameters, update model probabilities, and compute robust portfolio choices by taking into account model uncertainty, parameter uncertainty, and non-stationarity. The portfolio choices achieve higher out-of-sample Sharpe ratios and certainty equivalents than rolling window schemes, the 1/N approach, and other leading strategies do on a majority of 24 datasets.

原文鍊接：

http://rfs.oxfordjournals.org/content/29/5/1330.abstract

翻譯：孫雨琦