Arbeitspapier
Optimal clustering in Bayesian capital asset pricing model
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni di Dipartimento - EPMQ ; No. 197
Klassifikation
Wirtschaft
Thema
Capital Asset Pricing Model
Markov Chain Monte Carlo
outlier identification
product partition models
score function
Markov Chain Monte Carlo
outlier identification
product partition models
score function
Ereignis
Geistige Schöpfung
(wer)
De Giuli, Maria Elena
Tarantola, Claudia
Uberti, Pierpaolo
Tarantola, Claudia
Uberti, Pierpaolo
Ereignis
Veröffentlichung
(wer)
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
(wo)
Pavia
(wann)
2007
- Handle
- Letzte Aktualisierung
-
12.07.2024, 13:22 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- De Giuli, Maria Elena
- Tarantola, Claudia
- Uberti, Pierpaolo
- Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
Entstanden
- 2007
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