Bayesian Methods in Finance by Svetlozar T. Rachev (English) Hardcover Book

Description: Bayesian Methods in Finance by Svetlozar T. Rachev, John S.J. Hsu, Biliana S. Bagasheva, Frank J. Fabozzi 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 practice to analyze and evaluate asset management. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description 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. Back Cover An accessible overview of the theory and practice of Bayesian Methods in Finance This first-of-its-kind book explains and illustrates the fundamentals of the Bayesian methodology and their applications to finance in clear and accessible terms. Bayesian Methods in Finance provides a unified examination of the use of Bayesian theory and practice in portfolio and risk management--explaining the concepts and techniques that can be applied to real-world financial problems. This book is a guide to using Bayesian methods and, notably, the Markov Chain Monte Carlo toolbox to: incorporate prior views of an analyst or a fund manager into the asset allocation process; estimate and predict volatility; improve risk forecasts; and combine the conclusions of different models. Each application presentation begins with the basics, works through the traditional "frequentist" perspective, and then follows with the Bayesian treatment. This invaluable resource presents a theoretically sound framework for combining various sources of information and a robust estimation setting that explicitly incorporates estimation risk, and brings within reach the flexibility to handle complex and realistic models. Flap An accessible overview of the theory and practice of Bayesian Methods in Finance This first-of-its-kind book explains and illustrates the fundamentals of the Bayesian methodology and their applications to finance in clear and accessible terms. Bayesian Methods in Finance provides a unified examination of the use of Bayesian theory and practice in portfolio and risk management--explaining the concepts and techniques that can be applied to real-world financial problems. This book is a guide to using Bayesian methods and, notably, the Markov Chain Monte Carlo toolbox to: incorporate prior views of an analyst or a fund manager into the asset allocation process; estimate and predict volatility; improve risk forecasts; and combine the conclusions of different models. Each application presentation begins with the basics, works through the traditional "frequentist" perspective, and then follows with the Bayesian treatment. This invaluable resource presents a theoretically sound framework for combining various sources of information and a robust estimation setting that explicitly incorporates estimation risk, and brings within reach the flexibility to handle complex and realistic models. Author Biography 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 Universitys School of Management and the Editor of the Journal of Portfolio Management. 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 Long Description An accessible overview of the theory and practice of Bayesian Methods in Finance This first-of-its-kind book explains and illustrates the fundamentals of the Bayesian methodology and their applications to finance in clear and accessible terms. Bayesian Methods in Finance provides a unified examination of the use of Bayesian theory and practice in portfolio and risk management explaining the concepts and techniques that can be applied to real-world financial problems. This book is a guide to using Bayesian methods and, notably, the Markov Chain Monte Carlo toolbox to: incorporate prior views of an analyst or a fund manager into the asset allocation process; estimate and predict volatility; improve risk forecasts; and combine the conclusions of different models. Each application presentation begins with the basics, works through the traditional "frequentist" perspective, and then follows with the Bayesian treatment. This invaluable resource presents a theoretically sound framework for combining various sources of information and a robust estimation setting that explicitly incorporates estimation risk, and brings within reach the flexibility to handle complex and realistic models. Details ISBN0471920835 Author Frank J. Fabozzi Short Title FRANK J FABOZZI BAYESIAN METHO Language English ISBN-10 0471920835 ISBN-13 9780471920830 Media Book Format Hardcover Illustrations Yes Year 2008 Imprint John Wiley & Sons Inc Place of Publication New York Country of Publication United States Edition 1st Birth 1955 Residence Santa Barbara Affiliation Univ. of California Univ. of California, Santa Barbara Univ. of Califo DOI 10.1604/9780471920830 Series Number 153 UK Release Date 2008-03-11 NZ Release Date 2008-02-01 Publisher John Wiley & Sons Inc Series Frank J. Fabozzi Series Publication Date 2008-03-11 DEWEY 332 Audience Professional & Vocational US Release Date 2008-03-11 AU Release Date 2008-01-22 Pages 352 We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:4354670;

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