Portfolio Optimisation: a Bayesian Model Averaging approach
This paper adopts a Bayesian Model Averaging procedure to forecast excess returns. With a dataset compiling of 78 companies from the FTSE 100, we use in-sample performance to compare BMA with the Historical Expectation, and out- of-sample performance for the comparison of BMA with realized returns a...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2016
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| Online Access: | https://eprints.nottingham.ac.uk/36649/ |