John S. J. Hsu & Biliana S. Bagasheva 
Bayesian Methods in Finance [PDF ebook] 

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

Svetlozar T. Rachev, Ph D, 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 Fin Analytica
Inc.
John S. J. Hsu, Ph D, is Professor of Statistics and Applied
Probability at the University of California, Santa Barbara.
Biliana S. Bagasheva, Ph D, 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, Ph D, CFA, is Professor in the Practice of
Finance and Becton Fellow at Yale University’s School of Management
and the Editor of the Journal of Portfolio Management.