Bayesian Asset Allocation and U.S. Domestic Bias

U.S. investors hold much less international stock than is optimal according to mean-variance portfolio theory applied to historical data. We investigated whether this home bias can be explained by Bayesian approaches to international asset allocation. In comparison with mean-variance analysis, Bayes...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Financial Analysts Journal. - The Financial Analysts Federation, 1960. - 59(2003), 6, Seite 54-65
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2003
Zugriff auf das übergeordnete Werk:	Financial Analysts Journal
Schlagworte:	Portfolio Management: asset allocation Investment Theory: CAPM, APT, and other pricing theories Economics Business Religion Mathematics