Bayesian Methods in Finance
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Bayesian Methods in Finance: (Frank J. Fabozzi Series)

Bayesian Methods in Finance: (Frank J. Fabozzi Series)


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About the Book

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 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 Author :
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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Product Details
  • ISBN-13: 9780471920830
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Height: 236 mm
  • No of Pages: 352
  • Returnable: N
  • Spine Width: 31 mm
  • Width: 163 mm
  • ISBN-10: 0471920835
  • Publisher Date: 11 Mar 2008
  • Binding: Hardback
  • Language: English
  • Returnable: N
  • Series Title: Frank J. Fabozzi Series
  • Weight: 558 gr


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