The Likelihood of Various Stock Market Return Distributions, Part 1 Principles of Inference
This is the first of two articles which apply certain principles of inference to a practical, financial question. The present article argues and cites arguments which contend that decision making should be Bayesian, that classical (R. A. Fisher, Neyman-Pearson) inference can be highly misleading for Bayesians as can the use of diffuse priors, and that Bayesian statisticians should show remote clients with a variety of priors how a sample implies shifts in their beliefs. We also consider practical implications of the fact that human decision makers and their statisticians cannot fully emulate Savage's rational decision maker.
MSU Digital Commons Citation
Markowitz, Harry M. and Usmen, Nilufer, "The Likelihood of Various Stock Market Return Distributions, Part 1 Principles of Inference" (1996). Department of Accounting and Finance Faculty Scholarship and Creative Works. 122.