Factor investing: A Bayesian hierarchical approach
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DOI: 10.1016/j.jeconom.2021.11.001
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Cited by:
- Cássio Roberto de Andrade Alves & Márcio Laurini, 2023. "Estimating the Capital Asset Pricing Model with Many Instruments: A Bayesian Shrinkage Approach," Mathematics, MDPI, vol. 11(17), pages 1-20, September.
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Keywords
Asset allocation; Bayes; Hierarchical prior; Estimation risk; Characteristics; Macro predictors; Risk factor;All these keywords.
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