贝叶斯推断与资产组合有效性检验

本文认为,资产组合P的均值-方差有效性能够通过有效性指标ρ的后验分布获得。根据贝叶斯法则,我们选取上证综合指数为样本获得了ρ的后验分布。研究结论表明,如果资产组合集中包含有无风险资产,当先验信仰以标准无信息先验(标准扩散先验)的形式出现时,上证综合指数缺乏有效性,表明资产组合集中加入无风险资产将降低资产组合的均值-方差有效性,这与理论推导结果是一致的。

Bayesian Inference and Analysis of Portfolio Efficiency

This paper deals with the tests of portfolio mean-variance efficiency with Bayesian inference.The efficiency can be measured by index.According to Bayesian Inference,We get the posterior distribution of . Our conclusion shows that if the set of portfolio includes riskless-asset and the prior belief is in the form of standard noninformative prior, the market portfolio lacks the mean-variance efficiency. Empirically we found unequivocal evidence among data of Chinese listed corporations.