Bayesian methods in finance / Svetlozar T. Rachev [and others]
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.
Saved in:
Online Access: |
Full Text (via ProQuest) |
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Other Authors: | |
Format: | eBook |
Language: | English |
Published: |
Hoboken, N.J. : Chichester :
Wiley ; John Wiley [distributor],
©2008.
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Series: | Frank J. Fabozzi series.
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Subjects: |
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.