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An Improvement of the Parameter Certainty Equivalence Method in Portfolio Selection

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Abstract

This paper discusses an improvement of the Parameter Certainty Equivalence method in portfolio selection. Specifically, we derive methods of portfolio selection that are superior to the Parameter Certainty Equivalence method from the viewpoint of maximizing expected utility. We additionally derive such a method from the Bayesian approach.

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Authors and Affiliations

  1. IBJ-DL Financial Technology, 5-1, Otemachi 1-chome, Chiyoda-Ku, Tokyo, 100-0004, Japan

    Hiroyuki Kashima

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  1. Hiroyuki Kashima
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Kashima, H. An Improvement of the Parameter Certainty Equivalence Method in Portfolio Selection. Asia-Pacific Financial Markets 8, 35–43 (2001). https://doi.org/10.1023/A:1011488924784

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  • DOI: https://doi.org/10.1023/A:1011488924784

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