Mathematical Challenge June 2017

June 20, 2017

Many mathematical procedures allow to find exposure coefficients (called betas [1]) of a financial
instrument respectively to a selection of risk factors. Whereas most of these techniques provide
point-estimate betas, the Bayesian Model Averaging (BMA) framework allows to compute beta
distributions. We first briefly describe the formulas and procedure underneath these distributions.
We then state the driven portfolio optimization problem.

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