This paper investigates the asset allocation problem when returns are predictable. We introduce a market-timing Bayesian hierarchical (BH) approach that adopts heterogeneous time-varying coefficients driven by lagged fundamental characteristics. Our estimates conditional expected and residual covariance matrix jointly enables evaluating estimation risk in portfolio analysis. The prior allows mo...

In this article, Lindley's measure of average information is used to measure the information contained in incomplete observations on the vector of unknown regression coefficients [9]. This measure of information may be used to compute the missing regressor values.