Bayesian Portfolio Allocation скачать в хорошем качестве

Bayesian Portfolio Allocation

QWAFAFEW Jan 2021 Markowitz portfolio optimization is optimal in theory, however, when applied in practice it often fails catastrophically. Usually, this is addressed by various simplifications to increase robustness. In this talk, Thomas will make the case that the reason this theory fails in practice is because uncertainty in the parameter estimation is not taken into account. By using Bayesian statistics we can fix Markowitz and retain all its desirable properties while still having a robustness technique that can be easily extended. This talk is geared at intermediate and will give a general introduction to Bayesian modeling using PyMC3 and focus on application and code examples rather than theory.