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P. Jorion, “Bayes-Stein Estimation for Portfolio Analysis,” Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, 1986, pp. 279-292. doi:10.2307/2331042

has been cited by the following article:

• TITLE: Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models

  AUTHORS: John Knight, Stephen Satchell, Jessica Qi Zhang

  KEYWORDS: Linear Factor Models; Bayesian Statistics; Sequential Regression

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.1A, March 29, 2013

  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.