{"title":"Bayesian Methods in Asset Management","authors":"Bradford Cornell","doi":"10.3905/jpm.2023.1.515","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":53670,"journal":{"name":"Journal of Portfolio Management","volume":"49 1","pages":"217 - 223"},"PeriodicalIF":1.1000,"publicationDate":"2023-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Portfolio Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.3905/jpm.2023.1.515","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
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.
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.