Bayesian inference of the multi-period optimal portfolio for an exponential utility

David Bauder, Taras Bodnar, Nestor Parolya, Wolfgang Schmid. Bayesian inference of the multi-period optimal portfolio for an exponential utility. J. Multivariate Analysis, 175, 2020. [doi]

@article{BauderBPS20,
  title = {Bayesian inference of the multi-period optimal portfolio for an exponential utility},
  author = {David Bauder and Taras Bodnar and Nestor Parolya and Wolfgang Schmid},
  year = {2020},
  doi = {10.1016/j.jmva.2019.104544},
  url = {https://doi.org/10.1016/j.jmva.2019.104544},
  researchr = {https://researchr.org/publication/BauderBPS20},
  cites = {0},
  citedby = {0},
  journal = {J. Multivariate Analysis},
  volume = {175},
}