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Bayesian Methods in Finance

Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva, Frank J. Fabozzi
ISBN: 978-0-471-92083-0
Hardcover
329 pages
February 2008, ©2008
List Price: US $95.00
Government Price: US $48.45
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  • Explains and illustrates the foundations of Bayesian analysis oriented to participants in the finance market. The use of Bayesian methods leads to better portfolio selection and estimation risk.  It also provides a very versatile framework to incorporate the prior views of a fund manager into the asset allocation process, and help users to decide on which explanatory variables to include in a model, through Bayesian variable selection techniques.
  • Provides applications to leading asset management models such as the Black-Litterman model and fundamental factor models.
  • Provides applications to corporate finance.  Includes real options, capital budgeting, dividend payout policy.

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