Ando, Tomohiro - In: Global Business and Economics Review 14 (2012) 1/2, pp. 77-101
This paper addresses the problem of portfolio selection under a multifactor asset return model, using Bayesian analysis … to deal with uncertainties in parameter estimation and model specification. These sources of error are ignored in the … classical mean-variance method. We apply two approaches: the empirical Bayes method, and Bayesian model averaging. The previous …