Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions

作者：Tsai Chih Ling^*; Wang Hansheng; Zhu Ning

来源：Annals of the Institute of Statistical Mathematics, 2010, 62(1): 109-116.

DOI：10.1007/s10463-009-0250-4

• Model selection
• BIC
• Model averaging
• Model mixing
• Stock predictability
• Financial markets

We employ a statistical criterion (out-of-sample hit rate) and a financial market measure (portfolio performance) to compare the forecasting accuracy of three model selection approaches: Bayesian information criterion (BIC), model averaging, and model mixing. While the more recent approaches of model averaging and model mixing surpass the Bayesian information criterion in their out-of-sample hit rates, the predicted portfolios from these new approaches do not significantly outperform the portfolio obtained via the BIC subset selection method.

• 出版日期2010-2
• 单位北京大学