Factor investing: a Bayesian hierarchical approach (Q2155315): Difference between revisions
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| Property / cites work: Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models / rank | |||
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| Property / cites work: Common risk factors in the returns on stocks and bonds / rank | |||
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| Property / cites work: An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias / rank | |||
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Latest revision as of 14:44, 29 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Factor investing: a Bayesian hierarchical approach |
scientific article |
Statements
Factor investing: a Bayesian hierarchical approach (English)
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15 July 2022
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asset allocation
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Bayes
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hierarchical prior
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estimation risk
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characteristics
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macro predictors
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risk factor
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