Portfolio Selection and Asset Pricing Models
用贝叶斯框架将资产定价模型作为先验信念融入投资组合选择，从资产配置角度评估本土偏好及价值与规模效应的样本证据，发现美国投资者需极强地相信国内CAPM才能解释其持股的本土偏好。
Finance theory can be used to form informative prior beliefs in financial decision making. This paper approaches portfolio selection in a Bayesian framework that incorporates a prior degree of belief in an asset pricing model. Sample evidence on home bias and value and size effects is evaluated from an asset‐allocation perspective. U.S. investors' belief in the domestic CAPM must be very strong to justify the home bias observed in their equity holdings. The same strong prior belief results in large and stable optimal positions in the Fama–French book‐to‐market portfolio in combination with the market since the 1940s.