@article{oai:nagoya.repo.nii.ac.jp:02005330,
 author = {中島, 英喜 and NAKASHIMA, Hideki},
 issue = {3},
 journal = {経済科学, The Economic Science},
 month = {Mar},
 note = {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.},
 pages = {77--88},
 title = {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},
 volume = {70},
 year = {2023}
}