Bayesian Methods in Finance
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portes grátis
Bayesian Methods in Finance
Rachev, Svetlozar T.; Hsu, John S. J.; Fabozzi, Frank J.; Bagasheva, Biliana S.
John Wiley & Sons Inc
03/2008
329
Dura
Inglês
9780471920830
15 a 20 dias
644
Descrição não disponível.
Preface xv
About the Authors xvii
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 Black-Litterman Portfolio Selection Framework 141
CHAPTER 9 Market Efficiency and Return Predictability 162
CHAPTER 10 Volatility Models 185
CHAPTER 11 Bayesian Estimation of ARCH-Type 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
About the Authors xvii
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 Black-Litterman Portfolio Selection Framework 141
CHAPTER 9 Market Efficiency and Return Predictability 162
CHAPTER 10 Volatility Models 185
CHAPTER 11 Bayesian Estimation of ARCH-Type 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
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finance; methods; practice; book; accessible overview; firstofitskind; theory; bayesian; examination; portfolio; use; unified; guide; prior; monte; fund; markov; incorporate; views; toolbox; carlo
Preface xv
About the Authors xvii
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 Black-Litterman Portfolio Selection Framework 141
CHAPTER 9 Market Efficiency and Return Predictability 162
CHAPTER 10 Volatility Models 185
CHAPTER 11 Bayesian Estimation of ARCH-Type 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
About the Authors xvii
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 Black-Litterman Portfolio Selection Framework 141
CHAPTER 9 Market Efficiency and Return Predictability 162
CHAPTER 10 Volatility Models 185
CHAPTER 11 Bayesian Estimation of ARCH-Type 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
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
