Portfolio selection for individual passive investing

David Puelz; P. Richard Hahn; Carlos M. Carvalho

doi:10.1002/asmb.2483

Portfolio selection for individual passive investing

David Puelz, P. Richard Hahn, Carlos M. Carvalho

Mathematical and Statistical Sciences, School of (SoMSS)

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

This paper considers passive fund selection from an individual investor's perspective. The growth of the passive fund market over the past decade is staggering. Individual investors who wish to buy these funds for their retirement and brokerage accounts have many options and are faced with a difficult selection problem. Which funds do they invest in, and in what proportions? We develop a novel statistical methodology to address this problem by adapting recent advances in posterior summarization. A Bayesian decision-theoretic approach is presented to construct optimal sparse portfolios for individual investors over time.

Original language	English (US)
Pages (from-to)	124-142
Number of pages	19
Journal	Applied Stochastic Models in Business and Industry
Volume	36
Issue number	1
DOIs	https://doi.org/10.1002/asmb.2483
State	Published - Jan 1 2020

Keywords

Bayesian methods
decision theory
model selection
portfolio selection

ASJC Scopus subject areas

Modeling and Simulation
Business, Management and Accounting(all)
Management Science and Operations Research

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10.1002/asmb.2483

Cite this

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abstract = "This paper considers passive fund selection from an individual investor's perspective. The growth of the passive fund market over the past decade is staggering. Individual investors who wish to buy these funds for their retirement and brokerage accounts have many options and are faced with a difficult selection problem. Which funds do they invest in, and in what proportions? We develop a novel statistical methodology to address this problem by adapting recent advances in posterior summarization. A Bayesian decision-theoretic approach is presented to construct optimal sparse portfolios for individual investors over time.",

keywords = "Bayesian methods, decision theory, model selection, portfolio selection",

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N2 - This paper considers passive fund selection from an individual investor's perspective. The growth of the passive fund market over the past decade is staggering. Individual investors who wish to buy these funds for their retirement and brokerage accounts have many options and are faced with a difficult selection problem. Which funds do they invest in, and in what proportions? We develop a novel statistical methodology to address this problem by adapting recent advances in posterior summarization. A Bayesian decision-theoretic approach is presented to construct optimal sparse portfolios for individual investors over time.

AB - This paper considers passive fund selection from an individual investor's perspective. The growth of the passive fund market over the past decade is staggering. Individual investors who wish to buy these funds for their retirement and brokerage accounts have many options and are faced with a difficult selection problem. Which funds do they invest in, and in what proportions? We develop a novel statistical methodology to address this problem by adapting recent advances in posterior summarization. A Bayesian decision-theoretic approach is presented to construct optimal sparse portfolios for individual investors over time.

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KW - decision theory

KW - model selection

KW - portfolio selection

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Portfolio selection for individual passive investing

Abstract

Keywords

ASJC Scopus subject areas

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