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- W2051639613 abstract "This paper develops a Bayesian test of portfolio efficiency and derives a computationally convenient posterior-odds ratio. The analysis indicates that significance levels higher than the traditional 0.05 level are recommended for many test situations. In an example from the literature, the classical test fails to reject with p-value 0.082, yet the odds are nearly two to one against efficiency under apparently reasonable assumptions. Procedures for testing approximate efficiency and for aggregating subperiod results are also considered." @default.
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- W2051639613 date "1987-12-01" @default.
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- W2051639613 title "A Bayesian approach to testing portfolio efficiency" @default.
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- W2051639613 doi "https://doi.org/10.1016/0304-405x(87)90002-x" @default.
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