ISBN 9783843904490

978-3-8439-0449-0, Reihe Wirtschaftswissenschaften

Markus Franke
Portfolio Decisions and Empirical Asset Management

115 Seiten, Dissertation Ludwig-Maximilians-Universität München (2012), Hardcover, A5

Zusammenfassung / Abstract

"Portfolio Decisions and Empirical Asset Management" describes the asset allocation decision from two perspectives: the equilibrium perspective, where a passive investor has no deviating views from market equilibrium, and an active perspective, where the investor forms own expectations of future characteristics of risk, return and correlation of certain assets. The present book combines the asset allocation process with two central ideas of Bayesian theory: Bayesian learning and shrinkage.