TY  - BOOK
AU  - Tang,Dragon Yongjun
TI  - Potential losses from incorporating return predictability into portfolio allocation
SN  - 03128962
AV  - HD31 AUS 
PY  - 2014///
CY  - Los Angeles
PB  - Sage
KW  - Bayesian robustness
KW  - Protfolio selection
KW  - Return predictablity
N2  - The extant literature demonstrates the importance of stock return predictability for portfolio allocation. The usefulness of incorporating return predictability into portfolio decisions is most evident for Bayesian investors who build their portfolios based on their prior beliefs. I show that the magnitude of economic significance of stock return predictability largely depends on the choice of prior beliefs. An investor could suffer substantial utility loss when he delegates portfolio management to a manager with a different belief about stock return predictability. The consideration of Bayesian prior robustness in portfolio analysis can be as important as return predictability itself
UR  - https://doi.org/10.1177/0312896212462226
ER  -