Analyzing investments whose histories differ in length
研究资产历史收益率长度不同时的多元分析方法，利用较长历史提供的信息，结合贝叶斯预测分布处理参数不确定性，并通过新兴市场例子展示该方法优于截断样本或忽略估计风险的做法。
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.