Bayesian methods in finance /
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.
| Други автори: | Rachev, S. T. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Hoboken, N.J. : Chichester :
Wiley ; John Wiley [distributor],
℗♭2008.
|
| Серия: |
Frank J. Fabozzi series.
|
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=219893 |
| Подобни документи: |
Print version::
Bayesian methods in finance. |
Съдържание:
- 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.