资产管理中的贝叶斯方法

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2023-06-24 DOI:10.3905/jpm.2023.1.515

Bradford Cornell

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引用次数: 0

摘要

贝叶斯统计方法是统计分析的两种主要形式之一。这种方法允许决策者对一些随机事件发生的概率有一个事先的评估，当更多的信息可用时，他们可以系统地更新这个概率。该方法还用于金融建模，以便在获得新数据时更新模型的参数。本文回顾了贝叶斯方法，讨论了其对资产管理的影响，并描述了该方法在统计分析中的局限性。

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Bayesian Methods in Asset Management

The Bayesian statistical method is one of the two major forms of statistical analysis. This approach allows decision makers who have a prior assessment of the probability of some random event occurring to systematically update that probability as more information becomes available. The approach is also used in financial modeling to update the parameters of a model as new data become available. This article reviews the Bayesian methods, discusses the implications for asset management, and describes the limitations of this approach to statistical analysis.

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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.