Bayesian methods in finance /

Bayesian methods in finance / Svetlozar T. Rachev [and others]

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Provides an overview of the theory and practice of Bayesian methods in finance. This book explains and illustrates the foundations of the Bayesian methodology and provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management.

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Bibliographic Details
Online Access: Full Text (via ProQuest)
Other Authors: Rachev, S. T. (Svetlozar Todorov)
Format: eBook
Language:English
Published: Hoboken, N.J. : Chichester : Wiley ; John Wiley [distributor], ©2008.
Series:Frank J. Fabozzi series.
Subjects:
Finance > Mathematical models.
Bayesian statistical decision theory.
Table of Contents:
  • The Bayesian paradigm
  • Prior and posterior information, predictive inference
  • Bayesian linear regression model
  • Bayesian numerical computation
  • Bayesian framework for portfolio allocation
  • Prior beliefs and asset pricing models
  • The Black-Litterman portfolio selection framework
  • Market efficiency and return predictability
  • Volatility models
  • Bayesian estimation of ARCH-type volatility models
  • Bayesian estimation of stochastic volatility models
  • Advanced techniques for Bayesian portfolio selection
  • Multifactor equity risk models.

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