Sequential learning , predictive regressions , and optimal p ortfolio returns PRELIMINARY

@inproceedings{Johannes2009SequentialL,
  title={Sequential learning , predictive regressions , and optimal p ortfolio returns PRELIMINARY},
  author={Michael S. Johannes and Arthur Korteweg and Nicholas Polson},
  year={2009}
}
This paper analyzes sequential learning in the context of predictive regression models. To do this, we develop new particle based methods for sequential learning about parameters, state variables, hypotheses, and models. This sequential perspective allows us to quantify how investor’s views about predictability and models varies over time, and naturally mimics the learning problem encountered in practice. We consider learning about predictability using dividend/payout data and models that… CONTINUE READING