Abstract Details
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Activity Number:
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216
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Type:
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Invited
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Date/Time:
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Monday, August 5, 2013 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #307357 |
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Title:
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Asset Allocation: A Bayesian Perspective
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Author(s):
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Nicholas G. Polson*+
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Companies:
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Chicago Booth
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Keywords:
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Bayes ;
Finance ;
Asset ;
Allocation
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Abstract:
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A Bayesian perspective on asset allocation is described. With the aid of Stein's lemma, the Kelly criterion and Merton's allocation rule for risky stocks are derived. We study an investor who wishes to maximise the expected long-run growth of the market. Extensions to exchangeable returns where learning ensues are used to illustrate the feature that risk-averse investors are willing to hold larger proportions of the risky asset. Empirical applications to US and foreign markets are used to illustrate these effects.
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Authors who are presenting talks have a * after their name.
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