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EnglishWe focus on robust Bayesian estimation of the systematic risk of an asset in presence of outlying points. We assume that the returns follow independent normal distributions with a product partition structure on the parameters of interest. A Bayesian decision theoretical approach is used to identify the partition that best separates standard and atypical data points. We apply a nonsmooth optimization algorithm to minimize the expected value of a given loss function. The methodology is illustrated with reference to the IPSA stock market index and the MIBTEL one.
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| Titolo: | Optimal clustering in Bayesian Capital Asset Pricing Model | |
| Autori: | ||
| Data di pubblicazione: | 2007 | |
| Rivista: | ||
| Abstract: | We focus on robust Bayesian estimation of the systematic risk of an asset in presence of outlying points. We assume that the returns follow independent normal distributions with a product partition structure on the parameters of interest. A Bayesian decision theoretical approach is used to identify the partition that best separates standard and atypical data points. We apply a nonsmooth optimization algorithm to minimize the expected value of a given loss function. The methodology is illustrated with reference to the IPSA stock market index and the MIBTEL one. | |
| Handle: | http://hdl.handle.net/11571/539648 | |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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