on filtering techniques and learning methods, we use a Bayesian learning approach to solve the Markowitz problem and … Bayesian learning strategy, we compare it with an optimal nonlearning strategy that keeps the drift constant at all times. In … order to emphasize the prevalence of the Bayesian learning strategy above the nonlearning one in different situations, we …

In an investment-based asset pricing model, we build a collective-learning framework in which decision-makers learn a … target firm's exposure to systematic risk from its peers' observations. This learning mechanism endogenously creates a time … empirical evidence that the posterior estimate of systematic-risk exposure from collective learning, rather than from individual …