Bayesian Inference and Portfolio Efficiency

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Inference from Iterative Simulation Using Multiple Sequences

1992 • 14,856 citations

Risk, Return, and Equilibrium: Empirical Tests

1973 • 14,580 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

The relationship between return and market value of common stocks

1981 • 6,052 citations

Portfolio Selection: Efficient Diversification of Investments

1959 • 5,744 citations

Portfolio Selection

1952 • 4,159 citations

Bayesian Inference in Statistical Analysis.

1975 • 3,994 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

An intertemporal asset pricing model with stochastic consumption and investment opportunities

1979 • 2,786 citations

The Capital Asset Pricing Model: Some Empirical Tests

1972 • 2,784 citations

Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments

1991 • 2,548 citations

Explaining the Gibbs Sampler

1992 • 2,343 citations

A Test of the Efficiency of a Given Portfolio

1989 • 2,325 citations

An Introduction to Bayesian Inference in Econometrics.

1974 • 2,058 citations

Practical Markov Chain Monte Carlo

1992 • 2,000 citations

On the Estimation of Beta-Pricing Models

1992 • 1,685 citations

Bayesian Inference in Econometric Models Using Monte Carlo Integration

1989 • 1,616 citations

Data-Snooping Biases in Tests of Financial Asset Pricing Models

1990 • 1,155 citations

Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments

1992 • 1,038 citations

Explaining the Gibbs Sampler

1992 • 862 citations

Testing a Point Null Hypothesis: The Irreconcilability ofPValues and Evidence

1987 • 802 citations

A Critique of Size-Related Anomalies

1995 • 787 citations

Testing Precise Hypotheses

1987 • 681 citations

Multifactor models do not explain deviations from the CAPM

1995 • 586 citations

On the exclusion of assets from tests of the two-parameter model

1982 • 532 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

Testing a Point Null Hypothesis: The Irreconcilability of P Values and Evidence

1987 • 502 citations

Multivariate proxies and asset pricing relations

1987 • 233 citations

Markov Chains for Exploring Posteior Distributions

1991 • 227 citations

Tests of Asset Pricing with Time‐Varying Expected Risk Premiums and Market Betas

1987 • 194 citations

On correlations and inferences about mean-variance efficiency

1987 • 165 citations

A Bayesian approach to testing portfolio efficiency

1987 • 119 citations

Bayesian inference in asset pricing tests

1990 • 112 citations

A Mean-Variance Framework for Tests of Asset Pricing Models

1989 • 97 citations

Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory

1990 • 83 citations

A bayesian approach to testing the arbitrage pricing theory

1991 • 81 citations

Small sample tests of portfolio efficiency

1991 • 68 citations

Value Line Rank and Firm Size

1987 • 56 citations

Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas

1987 • 44 citations

The stochastic properties of term structure movements

1987 • 18 citations

[Testing Precise Hypotheses]: Comment

1987 • 5 citations