Description
Book SynopsisBayesian Methods in Finance explains and illustrates the foundations of the Bayesian methodology in clear and accessible terms. It provides a unified examination of the use of the Bayesian theory and practice to analyze and evaluate asset management.
Table of ContentsPreface 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
