Part II - Portfolio Construction - Sampling & Optimisation

The main findings of the first part of the “Portfolio Construction”- series suggest that the parameter uncertainty has a significant impact on the optimal portfolio allocations. Therefore, a Bayesian sampling method is proposed to introduce the parameter uncertainty to the model. This section presents and compares the results from the Bayesian simulation model to those obtained through using a regular multivariate normal model.

 

Portfolio Construction New

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Portfolio Construction New

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