Journal of Mathematical Finance
Volume 3, Issue 1 (March 2013)
ISSN Print: 2162-2434 ISSN Online: 2162-2442
Google-based Impact Factor: 0.87 Citations h5-index & Ranking
Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models ()
Affiliation(s)
ABSTRACT
We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased or decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client and modeller may think important. We call this process Pragmatic Bayesianism (or prag-Bayes for short) and we provide analysis which shows when such a procedure is likely to be successful.
KEYWORDS
Share and Cite:
Cited by
Copyright © 2024 by authors and Scientific Research Publishing Inc.
This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.