| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0134 |
| 来源ID | Technical Working Paper 0134 |
| Bayesian Inference and Portfolio Efficiency | |
| Shmuel Kandel; Robert McCulloch; Robert F. Stambaugh | |
| 发表日期 | 1993-05-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | 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. |
| URL | https://www.nber.org/papers/t0134 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561717 |
| 推荐引用方式 GB/T 7714 | Shmuel Kandel,Robert McCulloch,Robert F. Stambaugh. Bayesian Inference and Portfolio Efficiency. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0134.pdf（3217KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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