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Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty

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  • Tu, Jun
  • Zhou, Guofu

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 45 (2010)
Issue (Month): 04 (August)
Pages: 959-986

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Handle: RePEc:cup:jfinqa:v:45:y:2010:i:04:p:959-986_00

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References

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  1. Lu Zhang, 2005. "The Value Premium," Journal of Finance, American Finance Association, American Finance Association, vol. 60(1), pages 67-103, 02.
  2. Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, 1993. "Bayesian Inference and Portfolio Efficiency," NBER Technical Working Papers 0134, National Bureau of Economic Research, Inc.
  3. Kan, Raymond & Zhou, Guofu, 2007. "Optimal Portfolio Choice with Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 42(03), pages 621-656, September.
  4. Randolph Cohen & Joshua Coval & Lubos Pastor, 2002. "Judging Fund Managers by the Company They Keep," NBER Working Papers 9359, National Bureau of Economic Research, Inc.
  5. Tu, Jun & Zhou, Guofu, 2004. "Data-generating process uncertainty: What difference does it make in portfolio decisions?," Journal of Financial Economics, Elsevier, Elsevier, vol. 72(2), pages 385-421, May.
  6. Lubos Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, American Finance Association, vol. 64(4), pages 1583-1628, 08.
  7. Victor DeMiguel & Lorenzo Garlappi & Francisco J. Nogales & Raman Uppal, 2009. "A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms," Management Science, INFORMS, INFORMS, vol. 55(5), pages 798-812, May.
  8. Martijn Cremers, 2006. "Multifactor Efficiency and Bayesian Inference," Yale School of Management Working Papers, Yale School of Management amz2523, Yale School of Management.
  9. Lubo Pástor, . "Portfolio Selection and Asset Pricing Models," CRSP working papers 356, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  10. Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
  11. Robert F. Stambaugh, 1997. "Analyzing Investments Whose Histories Differ in Length," NBER Working Papers 5918, National Bureau of Economic Research, Inc.
  12. Jeff Fleming, 2001. "The Economic Value of Volatility Timing," Journal of Finance, American Finance Association, American Finance Association, vol. 56(1), pages 329-352, 02.
  13. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, American Finance Association, vol. 7(1), pages 77-91, 03.
  14. Lubos Pastor & Robert F. Stambaugh, . "Comparing Asset Pricing Models: An Investment Perspective," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 16-99, Wharton School Rodney L. White Center for Financial Research.
  15. Zhenyu Wang, 2005. "A Shrinkage Approach to Model Uncertainty and Asset Allocation," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 18(2), pages 673-705.
  16. Michael W. Brandt, 1999. "Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach," Journal of Finance, American Finance Association, American Finance Association, vol. 54(5), pages 1609-1645, October.
  17. MacKinlay, A Craig & Pastor, Lubos, 2000. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 13(4), pages 883-916.
  18. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(1), pages 3-56, February.
  19. Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc.
  20. Harvey, Campbell R. & Zhou, Guofu, 1990. "Bayesian inference in asset pricing tests," Journal of Financial Economics, Elsevier, Elsevier, vol. 26(2), pages 221-254, August.
  21. David E. Rapach & Jack K. Strauss & Guofu Zhou, 2010. "Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 23(2), pages 821-862, February.
  22. Brennan, Michael J & Xia, Yihong, 2001. "Assessing Asset Pricing Anomalies," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 14(4), pages 905-42.
  23. Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, Elsevier, vol. 134(1), pages 235-256, September.
  24. Jun Tu, 2010. "Is Regime Switching in Stock Returns Important in Portfolio Decisions?," Management Science, INFORMS, INFORMS, vol. 56(7), pages 1198-1215, July.
  25. Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
  26. Shanken, Jay, 1987. "A Bayesian approach to testing portfolio efficiency," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(2), pages 195-215, December.
  27. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 21(03), pages 279-292, September.
  28. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, American Finance Association, vol. 55(1), pages 225-264, 02.
  29. Doron Avramov, 2004. "Stock Return Predictability and Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 17(3), pages 699-738.
  30. Mark Britten-Jones, 1999. "The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights," Journal of Finance, American Finance Association, American Finance Association, vol. 54(2), pages 655-671, 04.
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Cited by:
  1. Thomas J. Brennan & Andrew W. Lo, 2008. "Impossible Frontiers," NBER Working Papers 14525, National Bureau of Economic Research, Inc.
  2. Massimo Guidolin & Hening Liu, 2013. "Ambiguity Aversion and Under-diversification," Working Papers 483, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. Yong Li & Tao Zeng & Jun Yu, 2012. "Robust Deviance Information Criterion for Latent Variable Models," Working Papers 30-2012, Singapore Management University, School of Economics.
  4. Yong Li & Jun Yu, 2011. "Bayesian Hypothesis Testing in Latent Variable Models," Working Papers 11-2011, Singapore Management University, School of Economics.

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