Bayesian Performance Evaluation.

This paper proposes a Bayesian method of performance evaluation for investment managers. We begin with a flexible set of prior beliefs that can be elicited without any reference to probability distributions or their parameters. We then combine these prior beliefs with a general multi-factor model and derive an analytical solution for the posterior expectation of "alpha", the intercept term from the model.

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Year of publication:	1999
Authors:	Baks, K. ; Metrick, A. ; Wachter, J.
Institutions:	Harvard Institute of Economic Research (HIER), Department of Economics
Subject:	EVALUATION \| MATHEMATICAL ANALYSIS \| ECONOMETRICS

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Series:	Harvard Institute of Economic Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	54 pages
Classification:	C11 - Bayesian Analysis ; C00 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005478793