Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions

DOI10.1007/S10463-009-0250-4zbMATH Open1422.62313OpenAlexW2161937979MaRDI QIDQ904072FDOQ904072

Authors Ning Zhu, Chih-Ling Tsai, Hansheng Wang 

Publication date 15 January 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-009-0250-4

zbMATH Keywords

model selectionBICmodel averagingfinancial marketsmodel mixingstock predictability

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

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