Bayesian methods in finance /

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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.

Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Rachev, S. T. (Svetlozar Todorov)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, N.J. : Chichester : Wiley ; John Wiley [distributor], ©2008.
Colección:Frank J. Fabozzi series.
Temas:
Finance > Mathematical models.
Bayesian statistical decision theory.
Finances > Modèles mathématiques.
Théorie de la décision bayésienne.
BUSINESS & ECONOMICS > Finance.
Bayesian statistical decision theory
Finance > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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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