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.

Language
Englisch

Bibliographic citation
Series: Quaderni di Dipartimento - EPMQ ; No. 197

Classification
Wirtschaft
Subject
Capital Asset Pricing Model
Markov Chain Monte Carlo
outlier identification
product partition models
score function

Event
Geistige Schöpfung
(who)
De Giuli, Maria Elena
Tarantola, Claudia
Uberti, Pierpaolo
Event
Veröffentlichung
(who)
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
(where)
Pavia
(when)
2007

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Object type

  • Arbeitspapier

Associated

  • De Giuli, Maria Elena
  • Tarantola, Claudia
  • Uberti, Pierpaolo
  • Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)

Time of origin

  • 2007

Other Objects (12)