Bayesian Optimal Portfolio Selection in the MSF-SBEKK Model
DOI:
https://doi.org/10.12775/DEM.2011.003Keywords
portfolio analysis, MSV models, MSF-SBEKKAbstract
The aim of this paper is to investigate the predictive properties of the MSF-Scalar BEKK(1,1) model in context of portfolio optimization. The MSF-SBEKK model has been proposed as a feasible tool for analyzing multidimensional financial data (large n), but this research examines forecasting abilities of this model for n = 2, since for bivariate data we can obtain and compare predictive distributions of the portfolio in many other multivariate SV specifications. Also, approximate posterior results in the MSF-SBEKK model (based on preliminary estimates of nuisance matrix parameters) are compared with the exact ones.
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