scholarly journals Analysis of Portfolio Selection Model in Indian Stock Market

2021 ◽  
Vol 8 (2) ◽  
pp. 58-81
Author(s):  
Shubham Sah ◽  
Amit Kundu ◽  
Anil Kumar Goyal
Keyword(s):  
Stock Market ◽  
Portfolio Selection ◽  
Selection Model ◽  
Indian Stock Market ◽  
Portfolio Selection Model

scholarly journals Portfolio Selection Based on Bayesian Theory

2019 ◽  
Vol 2019 ◽  
pp. 1-11
Author(s):  
Daping Zhao ◽  
Yong Fang ◽  
Chaoliang Zhang ◽  
Zongrun Wang
Keyword(s):  
Markov Chain ◽  
Stock Market ◽  
Portfolio Selection ◽  
Regime Switching ◽  
Numerical Experiments ◽  
Bayesian Theory ◽  
Selection Model ◽  
Portfolio Performance ◽  
State Transfer ◽  
Portfolio Selection Model

The traditional portfolio selection model seriously overestimates its theoretic optimal return. Aiming at this problem, two portfolio selection models are proposed to modify the parameters and enhance portfolio performance based on Bayesian theory. Firstly, a Bayesian-GARCH(1,1) model is built. Secondly, Markov Chain is applied to curve the parameters’ state transfer, and a Bayesian Markov regime-Switching-GARCH(1,1) model is constructed. Both the two models can handle the overestimation problem and can obtain self-financing portfolios. In the numerical experiments, both the models are examined with data from China stock market, and their performances are compared and analyzed. The results show that BMS-GARCH(1,1) model is superior to the Bayesian-GARCH(1,1) model.

scholarly journals A note on the integrability of the classical portfolio selection model

2010 ◽  
Vol 23 (9) ◽  
pp. 1114-1119 ◽  
Author(s):  
V. Naicker ◽  
J.G. O’Hara ◽  
P.G.L. Leach
Keyword(s):  
Portfolio Selection ◽  
Selection Model ◽  
Portfolio Selection Model
Sign in / Sign up

Export Citation Format

Share Document