Bayesian Portfolio Optimization with Time-Varying Factor Models
We develop a modeling framework to simultaneously evaluate various types of predictability in stock returns, including stocks' sensitivity ("betas") to systematic risk factors, stocks' abnormal returns unexplained by risk factors ("alphas"), and returns of risk factors...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_migr_etd-0526 |