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Bayesian model averaging 1 Japan 1 Markov chain Monte Carlo 1 USA 1 United States 1 empirical Bayes 1 mean variance 1 multifactor asset returns 1 portfolio selection 1 predictive model selection 1 stock markets 1 uncertainty 1
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Ando, Tomohiro 1
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Global Business and Economics Review 1
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Bayesian portfolio selection under a multifactor asset return model with predictive model selection
Ando, Tomohiro - In: Global Business and Economics Review 14 (2012) 1/2, pp. 77-101
This paper addresses the problem of portfolio selection under a multifactor asset return model, using Bayesian analysis to deal with uncertainties in parameter estimation and model specification. These sources of error are ignored in the classical mean-variance method. We apply two approaches:...
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