Bayes规则与投资经理的选择

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2023-05-24 DOI:10.3905/jpm.2023.1.504

Bradford Cornell

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引用次数: 0

摘要

资产所有者更新投资经理预期业绩估计的一种简单方法是应用贝叶斯规则。在最简单的形式中，这只涉及对先前分布的估计和管理者绩效的历史数据，而不涉及其他信息。然而，这种直接更新预期的方法与金融理论不一致。这个简短的注释指出了区别。

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Bayes Rule and the Selection of Investment Managers

One simple way for an asset owner to update an estimate of the expected performance of an investment manager is to apply the Bayes rule. In its simplest form, this involves no information other than an estimate of the prior distribution and historical data on manager performance. However, this direct method of updating expectations is inconsistent with finance theory. This short note draws out the distinction.

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来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

期刊介绍： Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.