Empirical Bayes Estimation with Dynamic Portfolio Models

This paper considers the estimation of parameters in a dynamic stochastic model for securities prices, where the expected rate of return is a random variable. An empirical Bayes estimator is developed from the model structure. The estimator is an improvement on other popular estimators in terms of mean squared error. The effect of reduced estimation error on accumulated wealth is analyzed for the portfolio choice model with constant relative risk aversion utility

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Year of publication:	[2004]
Authors:	MacLean, Leonard C.
Other Persons:	Foster, Michael E. (contributor) ; Ziemba, William T. (contributor)
Publisher:	[2004]: [S.l.] : SSRN

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