Bayesian Methods in Finance

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John Wiley & Sons, May 2, 2008 - Business & Economics - 352 pages
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Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management—since these are the areas in finance where Bayesian methods have had the greatest penetration to date.
 

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Contents

CHAPTER 1 Introduction
1
CHAPTER 2 The Bayesian Paradigm
6
CHAPTER 3 Prior and Posterior Information Predictive Inference
22
CHAPTER 4 Bayesian Linear Regression Model
43
CHAPTER 5 Bayesian Numerical Computation
61
CHAPTER 6 Bayesian Framework for Portfolio Allocation
92
CHAPTER 7 Prior Beliefs and Asset Pricing Models
118
CHAPTER 8 The BlackLitterman Portfolio Selection Framework
141
CHAPTER 10 Volatility Models
185
CHAPTER 11 Bayesian Estimation of ARCHType Volatility Models
202
CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models
229
CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection
247
CHAPTER 14 Multifactor Equity Risk Models
280
References
298
Index
311
Copyright

CHAPTER 9 Market Efficiency and Return Predictability
162

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About the author (2008)

Svetlozar T. Rachev, PhD, Doctor of Science, is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering; Professor Emeritus at the University of California, Santa Barbara; and Chief-Scientist of FinAnalytica Inc.

John S. J. Hsu, PhD, is Professor of Statistics and Applied Probability at the University of California, Santa Barbara.

Biliana S. Bagasheva, PhD, has research interests in the areas of risk management, portfolio construction, Bayesian methods, and financial econometrics. Currently, she is a consultant in London.

Frank J. Fabozzi, PhD, CFA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management and the Editor of the Journal of Portfolio Management.

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