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Citations for "Bayesian Inference and Portfolio Efficiency"

by Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F

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  1. Greyserman, Alex & Jones, Douglas H. & Strawderman, William E., 2006. "Portfolio selection using hierarchical Bayesian analysis and MCMC methods," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 669-678, February.
  2. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  3. Klaas Baks & Andrew Metrick & Jessica Wachter, . "Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation," Rodney L. White Center for Financial Research Working Papers 18-99, Wharton School Rodney L. White Center for Financial Research.
  4. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society.
  5. Robert F. Stambaugh, . "Analyzing Investments Whose Histories Differ in Length," Rodney L. White Center for Financial Research Working Papers 05-96, Wharton School Rodney L. White Center for Financial Research.
  6. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
  7. Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 0425, European Central Bank.
  8. Massa, Massimo & Simonov, Andrei, 2005. "Is learning a dimension of risk?," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2605-2632, October.
  9. Walsh, David M. & Walsh, Kathleen D. & Evans, John P., 1998. "Assessing estimation error in a tracking error variance minimisation framework," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 175-192, May.
  10. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Working papers 90, Banque de France.
  11. Chou, Pin-Huang, 1997. "A Gibbs sampling approach to the estimation of linear regression models under daily price limits," Pacific-Basin Finance Journal, Elsevier, vol. 5(1), pages 39-62, February.
  12. Luboš Pástor & Robert F. Stambaugh, 1999. "Comparing Asset Pricing Models: An Investment Perspective," CRSP working papers 497, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  13. Li, Kai & Sarkar, Asani & Wang, Zhenyu, 2003. "Diversification benefits of emerging markets subject to portfolio constraints," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 57-80, February.
  14. Joel Owen & Ramón Rabinovitch, 1999. "Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 97-130, May.
  15. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
  16. Zhenyu Wang & Asani Sarkar & Kai Li, 1999. "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports 89, Federal Reserve Bank of New York.
  17. Lubos Pástor & Robert F. Stambaugh, 1999. "Costs of Equity Capital and Model Mispricing," Journal of Finance, American Finance Association, vol. 54(1), pages 67-121, 02.
  18. Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, vol. 44(2), pages 169-203, May.
  19. Klaas Baks & Andrew Metrick & Jessica Wachter, 1999. "Bayesian Performance Evaluation," NBER Working Papers 7069, National Bureau of Economic Research, Inc.
  20. Pin-Huang Chou & Guofu Zhou, 2006. "Using Bootstrap to Test Portfolio Efficiency," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 217-249, November.
  21. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
  22. Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(04), pages 959-986, August.
  23. Hollifield, Burton & Koop, Gary & Li, Kai, 2003. "A Bayesian analysis of a variance decomposition for stock returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 583-601, December.
  24. Post, G.T., 2005. "A Test for Mean-Variance Efficiency of a given Portfolio under Restrictions," ERIM Report Series Research in Management ERS-2005-032-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  25. Basak, Gopal & Jagannathan, Ravi & Sun, Guoqiang, 2002. "A direct test for the mean variance efficiency of a portfolio," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1195-1215, July.