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- W2127090633 abstract "Economic objectives are often ignored when estimating parameters, though the loss of doing so can be substantial. This paper proposes a way to allow Bayesian priors to reflect the objectives. Using monthly returns of the Fama-French 25 size and book-to-market portfolios and their three factors from January 1965 to December 2004, we find that investment performance under the objective-based priors can be significantly different from that under alternative priors, with differences in terms of annual certainty-equivalent returns greater than 10% in many cases. In terms of out-of-sample performance, the Bayesian rules under the objective-based priors can outperform substantially some of the best rules developed in the classical framework." @default.
- W2127090633 created "2016-06-24" @default.
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- W2127090633 date "2008-01-01" @default.
- W2127090633 modified "2023-09-25" @default.
- W2127090633 title "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty" @default.
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- W2127090633 doi "https://doi.org/10.2139/ssrn.968223" @default.
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