Portfolio Selection and Asset Pricing Models

Abstract
This paper approaches portfolio selection in a Bayesian framework that incorporates a prior degree of belief in an asset pricing model. Sample evidence on home bias and value and size effects is evaluated from an asset-allocation perspective.
Volume
55:1
Page
179-223
Year
2000
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Asset Liability Management (ALM);
Actuarial Applications and Methodologies
Investments
Asset/Liability Management (ALM);
Financial and Statistical Methods
Asset and Econometric Modeling
Publications
Journal of Finance
Authors
Lubos Pastor