Bayesian Inference and Portfolio Efficiency
用贝叶斯方法分析样本数据对投资组合效率的信息，发现即使样本中组合完全有效，后验分布也可能偏离效率；在有无风险资产时，NYSE-AMEX市场组合效率较低，但需结合信息先验才能得出此结论。
A Bayesian approach is used to investigate a sample’s information about a portfolio’s degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is exactly efficient in the sample. The data indicate that the NYSE–AMEX market portfolio is rather inefficient in the presence of a riskless asset, although this conclusion is justified only after an analysis using informative priors. Including a riskless asset significantly reduces any sample’s ability to produce posterior distributions supporting small degrees of inefficiency.