Factor investing : a Bayesian hierarchical approach
Guanhao Feng, Jingyu He
| Year of publication: |
2022
|
|---|---|
| Authors: | Feng, Guanhao ; He, Jingyu |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 230.2022, 1, p. 183-200
|
| Subject: | Asset allocation | Bayes | Characteristics | Estimation risk | Hierarchical prior | Macro predictors | Risk factor | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Risiko | Risk | CAPM | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Kapitalanlage | Financial investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.11.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441934