Bayesian Portfolio Optimization by Predictive Synthesis
基于预测综合的贝叶斯投资组合优化
Portfolio optimization is a critical task in investment. Most existing portfolio optimization methods require information on the distribution of returns of the assets that make up the portfolio. However, such distribution information is usually unknown to investors. Various methods have been proposed to estimate distribution information, but their accuracy greatly depends on the uncertainty of the financial markets. Due to this uncertainty, a model that could well predict…