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Bayesian methods in finance

Author: S T Rachev
Publisher: Hoboken, N.J. : Wiley ; Chichester : John Wiley [distributor], ©2008.
Series: Frank J. Fabozzi series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Bayesian methods in finance.
Hoboken, N.J. : Wiley ; Chichester : John Wiley [distributor], ©2008
(OCoLC)72655606
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: S T Rachev
ISBN: 9781119202141 1119202140 9780470249246 0470249242 1281217263 9781281217264
OCLC Number: 211911037
Description: 1 online resource (xviii, 329 pages) : illustrations, charts.
Contents: 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.
Series Title: Frank J. Fabozzi series.
Responsibility: Svetlozar T. Rachev [and others].

Abstract:

Bayesian 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  Read more...

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