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Texas Tech University

Dr. Carlos Andres Zapata Quimbayo

Robust Bayesian Portfolio OptimizationDr. Carlos Andres Zapata Quimbayo - ODEON, Universidad Externado de Colombia, Bogota

Date:
Friday, Nov. 7, 2025
2:00 PM—3:00 PM
Location:
online

Robust Bayesian Portfolio OptimizationDr. Carlos Andres Zapata Quimbayo - ODEON, Universidad Externado de Colombia, Bogota

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.