An Improvement of the Parameter Certainty Equivalence Method in Portfolio Selection |
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| Authors: | Hiroyuki Kashima |
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| Institution: | (1) IBJ-DL Financial Technology, 5-1, Otemachi 1-chome, Chiyoda-Ku, Tokyo, 100-0004, Japan |
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| Abstract: | This paper discusses an improvement of the Parameter Certainty Equivalence method in portfolio selection. Specifically, we derive methods of portfolio selection that are superior to the Parameter Certainty Equivalence method from the viewpoint of maximizing expected utility. We additionally derive such a method from the Bayesian approach. |
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| Keywords: | Bayesian approach expected utility Parameter Certainty Equivalence portfolio selection |
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