2024-03-29T10:27:11Z
https://nagoya.repo.nii.ac.jp/oai
oai:nagoya.repo.nii.ac.jp:02005330
2023-04-04T01:27:11Z
659:853:854:1680504467577
Policy Portfolio Selection with Prior Information and Periodic Diagnosis of the Selected One
先験情報を用いた政策ポートフォリオの選択と選択後の診断的評価
中島, 英喜
NAKASHIMA, Hideki
Policy portfolio selection
Diagnosis of policy portfolio
Bayesian method
Mean-variance efficiency
Black and Litteman model
Prior information
Overestimation of efficiency in mean-variance approach
Portfolio selection with referring to mean-variance efficiency is acutely sensitive to small changes of a set of evaluated values for expectation of returns of investment assets. Additionally it is not known appropriate method for diagnosis of the once selected portfolio. Although Black and Litterman model with Bayesian estimation is effective to restrain the former sensitivity, it has several serious difficulties to apply to policy portfolio selection. Hence we discuss an alternative approach based on Bayesian different from Black and Litterman model. In this approach we are explicitly conscious of two important facts. One is the error in the evaluated values as the deviation from true values. The other is the overestimating to the efficiency of selected portfolio under mean-variance approach relative to alternative portfolios. Due to this understanding we can select more efficient policy portfolio in real terms consistent with our prior information. Besides, we can apply this approach to the diagnosis of the once selected portfolio.
departmental bulletin paper
名古屋大学大学院経済学研究科
Graduate School of Economics Nagoya University
2023-03
application/pdf
経済科学
3
70
77
88
The Economic Science
0022-9725
2434-5741
https://nagoya.repo.nii.ac.jp/record/2005330/files/08_NAKASHIMA-Hideki.pdf
jpn