Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty
This paper proposes a way to allow Bayesian priors to reflect the objectives of an economic problem. That is, we impose priors on the solution to the problem rather than on the primitive parameters whose implied priors can be backed out from the Euler equation. Using monthly returns on the Fama-Fren...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4572 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5571/viewcontent/Incorporating_Economic_Objectives_into_Bayesian_Priors__Portfolio.pdf |
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| Institution: | Singapore Management University |
| Language: | English |