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- Publisher Website: 10.1177/0312896212462226
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Article: Potential losses from incorporating return predictability into portfolio allocation
Title | Potential losses from incorporating return predictability into portfolio allocation |
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Authors | |
Keywords | Bayesian robustness Portfolio selection Return predictability |
Issue Date | 2013 |
Publisher | Australian Graduate School of Management. The Journal's web site is located at http://www.agsm.unsw.edu.au/eajm |
Citation | Australian Journal of Management, 2013, v. 39 n. 1, p. 35-45 How to Cite? |
Abstract | The extant literature demonstrates the importance of stock return predictability for portfolio allocation. The usefulness of incorporating return predictability into portfolio decisions is most evident for Bayesian investors who build their portfolios based on their prior beliefs. I show that the magnitude of economic significance of stock return predictability largely depends on the choice of prior beliefs. An investor could suffer substantial utility loss when he delegates portfolio management to a manager with a different belief about stock return predictability. The consideration of Bayesian prior robustness in portfolio analysis can be as important as return predictability itself. |
Persistent Identifier | http://hdl.handle.net/10722/164717 |
ISSN | 2023 Impact Factor: 2.0 2023 SCImago Journal Rankings: 1.206 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Tang, Y | en_US |
dc.date.accessioned | 2012-09-20T08:08:42Z | - |
dc.date.available | 2012-09-20T08:08:42Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Australian Journal of Management, 2013, v. 39 n. 1, p. 35-45 | en_US |
dc.identifier.issn | 0312-8962 | - |
dc.identifier.uri | http://hdl.handle.net/10722/164717 | - |
dc.description.abstract | The extant literature demonstrates the importance of stock return predictability for portfolio allocation. The usefulness of incorporating return predictability into portfolio decisions is most evident for Bayesian investors who build their portfolios based on their prior beliefs. I show that the magnitude of economic significance of stock return predictability largely depends on the choice of prior beliefs. An investor could suffer substantial utility loss when he delegates portfolio management to a manager with a different belief about stock return predictability. The consideration of Bayesian prior robustness in portfolio analysis can be as important as return predictability itself. | - |
dc.language | eng | en_US |
dc.publisher | Australian Graduate School of Management. The Journal's web site is located at http://www.agsm.unsw.edu.au/eajm | - |
dc.relation.ispartof | Australian Journal of Management | en_US |
dc.subject | Bayesian robustness | - |
dc.subject | Portfolio selection | - |
dc.subject | Return predictability | - |
dc.title | Potential losses from incorporating return predictability into portfolio allocation | en_US |
dc.type | Article | en_US |
dc.identifier.email | Tang, Y: yjtang@hku.hk | en_US |
dc.identifier.authority | Tang, Y=rp01096 | en_US |
dc.identifier.doi | 10.1177/0312896212462226 | - |
dc.identifier.scopus | eid_2-s2.0-84893645669 | - |
dc.identifier.hkuros | 206840 | en_US |
dc.identifier.isi | WOS:000331274600003 | - |
dc.publisher.place | Australia | - |
dc.identifier.issnl | 0312-8962 | - |