Bayesian Portfolio Selection: An Empirical Analysis of the S&P 500 Index 1970–1996
贝叶斯投资组合选择：标普500指数1970—1996年的实证分析
In this article we present a technique for implementing large-scale optimal portfolio selection. We use high-frequency daily data to capture valuable statistical information in asset returns. We describe several statistical issues involved in quantitative approaches to portfolio selection. Our methodology applies to large-scale portfolio-selection problems in which the number of possible holdings is large relative to the estimation period provided by historical data. We…