Portfolio Optimisation: a Bayesian Model Averaging approach

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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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Bibliographic Details
Main Author:	Hart, Adao Dante
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2016
Online Access:	https://eprints.nottingham.ac.uk/36649/

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