Analysis of the conditional stock-return distribution under incomplete specification

Article Abstract:

The analysis of distribution of the stock-returns plays an important role in financial theory since a distributional assumption is required for mean-variance portfolio theory. Different bootstrap mechanisms for comparing the goodness-of-fit of several functions of several functional forms postulated under the null hypothesis for individual Spanish stocks and for General Index of the Madrid Stock market is designed.

Analysis, Evaluation, Stock markets, Stock market

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Bayesian portfolio selection with multi-variate random variance models

Article Abstract:

Solution for multi-period portfolio selection problem is derived using Bayesian processes and dynamic programming.

Bayesian statistical decision theory, Bayesian analysis, Dynamic programming

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An interval portfolio selection problem based on regret function

Article Abstract:

Interval analysis method is used to solve the problems of uncertainty in decision making for portfolio selection.

Decision-making, Decision making, Economic aspects, Measurement, Intervals (Mathematics)

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