Bayesian estimation and maximum likelihood methods represent two central paradigms in modern statistical inference. Bayesian estimation incorporates prior beliefs through Bayes’ theorem, updating ...
A study is made of the simple empirical Bayes estimators proposed by Robbins (1956). These estimators are compared with `best' conventional estimators in terms of ...
We suggest a new method for integrating volatility information for estimating the value-at-risk and conditional value-at-risk of a portfolio. This new method is developed from the perspective of ...
The factor model is an important construct for both portfolio managers and researchers in modern finance. For practitioners, factor model coefficients are used to guide the construction of optimal ...
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