به حداکثر رساندن قابلیت پیش بینی بخش بازار سهام در مدل پارامتر متغیر با زمان بیزی

The Kalman filter methodology is employed to develop a dynamic sector allocation model for US equities. Bayesian parameter estimation and model selection criteria result in significantly improved sector return predictability over static or rolling parameter specifications. A simple trading strategy illustrates how widely tested financial and economic variables can be used as inputs in for a potentially profitable investment strategy.