considering predictive model uncertainty as well as parameter uncertainty. Three predictive models are estimated: the model with … portfolio weights are substantially different from those when the model uncertainty is not incorporated. This means that the … model uncertainty is present, and that it influences on the portfolio selection. We believe that our Bayesian framework can …

positive correlation with the inflation. In addition, the stock market volatility tends to rise as macroeconomic uncertainty …

stocks and bonds are imperfect substitutes. Accordingly, financial market equilibrium in our model is achieved only when both …