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

DOI10.1007/s10463-009-0250-4zbMath1422.62313OpenAlexW2161937979MaRDI QIDQ904072

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 selectionfinancial marketsBICmodel averagingmodel mixingstock predictability

Mathematics Subject Classification ID

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

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