Data-Generating Process Uncertainty: What Difference Does It Make in Portfolio Decisions

• المؤلفون الرئيسيون: Tu, Jun, Zhou, Guofu
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: Asset pricing tests: Investments; Data generating process; t distribution; Bayesian analysis; Business
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/2692; https://doi.org/10.1016/j.jfineco.2003.05.003
• المؤسسة: Singapore Management University

As the usual normality assumption is firmly rejected by the data, investors encounter a data-generating process (DGP) uncertainty in making investment decisions. In this paper, we propose a novel way to incorporate uncertainty about the DGP into portfolio analysis. We find that accounting for fat ta...