{"title":"Bayes规则与投资经理的选择","authors":"Bradford Cornell","doi":"10.3905/jpm.2023.1.504","DOIUrl":null,"url":null,"abstract":"One simple way for an asset owner to update an estimate of the expected performance of an investment manager is to apply the Bayes rule. In its simplest form, this involves no information other than an estimate of the prior distribution and historical data on manager performance. However, this direct method of updating expectations is inconsistent with finance theory. This short note draws out the distinction.","PeriodicalId":53670,"journal":{"name":"Journal of Portfolio Management","volume":"49 1","pages":"221 - 223"},"PeriodicalIF":1.1000,"publicationDate":"2023-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Bayes Rule and the Selection of Investment Managers\",\"authors\":\"Bradford Cornell\",\"doi\":\"10.3905/jpm.2023.1.504\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"One simple way for an asset owner to update an estimate of the expected performance of an investment manager is to apply the Bayes rule. In its simplest form, this involves no information other than an estimate of the prior distribution and historical data on manager performance. However, this direct method of updating expectations is inconsistent with finance theory. This short note draws out the distinction.\",\"PeriodicalId\":53670,\"journal\":{\"name\":\"Journal of Portfolio Management\",\"volume\":\"49 1\",\"pages\":\"221 - 223\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2023-05-24\",\"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.2023.1.504\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Portfolio Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.3905/jpm.2023.1.504","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Bayes Rule and the Selection of Investment Managers
One simple way for an asset owner to update an estimate of the expected performance of an investment manager is to apply the Bayes rule. In its simplest form, this involves no information other than an estimate of the prior distribution and historical data on manager performance. However, this direct method of updating expectations is inconsistent with finance theory. This short note draws out the distinction.
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.
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