Bayesian Portfolio Optimization by Predictive Synthesis

By Masahiro Kato, Kentaro Baba, Hibiki Kaibuchi, Ryo Inokuchi

Published 2025-10-08

Everscope rating

1862.8

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Bayesian Predictive Synthesis (BPS) with Dynamic Linear Models. Problem types: Portfolio Optimization, Risk Management, Time Series Forecasting, Optimization, Density Estimation.

arXiv:2510.07180 · Paper rankings

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