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Bayesian Inference and Portfolio Efficiency / Shmuel Kandel, Robert McCulloch, Robert F. Stambaugh.
- Format:
- Book
- Author/Creator:
- Kandel, Shmuel.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0134.
- NBER technical working paper series no. t0134
- Language:
- English
- Subjects (All):
- Bayesian statistical decision theory.
- Equilibrium (Economics)--Mathematical models.
- Equilibrium (Economics).
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1993.
- Cambridge, Mass. : National Bureau of Economic Research, 1993.
- Summary:
- A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is exactly efficient in the sample. The data indicate that the NYSE-AMEX market portfolio is rather inefficient in the presence of a riskless asset, although this conclusion is justified only after an analysis using informative priors. Including a riskless asset significantly reduces any sample's ability to produce posterior distributions supporting small degrees of inefficiency.
- Notes:
- Print version record
- May 1993.
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