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METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20250309T080000
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DTSTART:20251102T070000
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DTSTART;TZID=America/Chicago:20251107T140000
DTEND;TZID=America/Chicago:20251107T150000
DTSTAMP:20260430T004809
CREATED:20250701T183255Z
LAST-MODIFIED:20250707T141727Z
UID:2019-1762524000-1762527600@www.math.ttu.edu
SUMMARY:Robust Bayesian Portfolio Optimization
DESCRIPTION:Speaker: Dr. Carlos Andres Zapata Quimbayo\, ODEON\, Universidad Externado de Colombia\, Bogota \nAbstract: We implement a robust Bayesian framework for portfolio optimization that integrates Bayesian inference with robust optimization techniques. The model considers parameter uncertainty in expected returns and covariances by combining normal-inverse-Wishart and gamma distributions through ellipsoidal uncertainty sets. We apply this methodology to a stock portfolio from the Dow Jones Industrial Average and compare its performance with traditional mean-variance and robust portfolio models.
URL:https://www.math.ttu.edu/mathematicalfinance/event/seminar-date-reserved-3/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/Quimbayo-e1751897818959.jpg
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