Bayesian portfolio selection under a multifactor asset return model with predictive model selection

Business & Economics

• Model Selection 100%
• Multi-factor 76%
• Asset Returns 68%
• Portfolio Selection 66%
• Bayesian Methods 40%
• Mean-variance 34%
• Bayesian Analysis 25%
• Japanese Stock Market 23%
• Empirical Bayes 22%
• Bayesian Model Averaging 22%
• Investors 19%
• Parameter Estimation 19%
• Model Specification 16%
• Predictive Power 16%
• Comparative Analysis 14%
• Prediction 13%
• Factors 11%
• Uncertainty 9%
• United States of America 6%