Finance Papers

Document Type

Journal Article

Date of this Version

1997

Publication Source

Journal of Financial Economics

Volume

45

Issue

3

Start Page

285

Last Page

331

DOI

10.1016/S0304-405X(97)00020-2

Abstract

This study explores multivariate methods for investment analysis based on return histories that differ in length across assets. The longer histories provide greater information about moments of return, not only for the longer-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or ‘estimation risk’, portfolio opportunities are characterized by a Bayesian predictive distribution. Examples involving emerging markets demonstrate the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates.

Copyright/Permission Statement

© 1997. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.

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Date Posted: 27 November 2017

This document has been peer reviewed.