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9780470249246

Bayesian Methods in Finance

by ; ; ;
  • ISBN13:

    9780470249246

  • ISBN10:

    0470249242

  • Format: eBook
  • Copyright: 2008-05-01
  • Publisher: Wiley
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Summary

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.

Table of Contents

Preface
About the Authors
Introduction
The Bayesian Paradigm
Prior and Posterior Information, Predicative 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
References
Index
Table of Contents provided by Publisher. All Rights Reserved.

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