Robust regression for capital asset pricing model using Bayesian approach

© 2016 by the Mathematical Association of Thailand. All rights reserved. This study investigate the performance of a portfolio based on capital asset pricing model using a Bayesian statistics approach. We use a hierarchical model robustly to estimate the systematic risk of an asset. We assume that t...

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Main Authors:	Autchariyapanitkui K., Kunasri K., Sriboonchitta S.
Format:	Journal
Published:	2017
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008414362&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42525
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-42525
record_format	dspace
spelling	th-cmuir.6653943832-425252017-09-28T04:27:33Z Robust regression for capital asset pricing model using Bayesian approach Autchariyapanitkui K. Kunasri K. Sriboonchitta S. © 2016 by the Mathematical Association of Thailand. All rights reserved. This study investigate the performance of a portfolio based on capital asset pricing model using a Bayesian statistics approach. We use a hierarchical model robustly to estimate the systematic risk of an asset. We assume that the returns follow independent normal distributions. MCMC sampling is applied to calculate all the parameters in the model. Finally, the Bayesian method gives us the probability of every possible asset returns, given the market returns and also the posterior predictions is a clue that the model could be improved. 2017-09-28T04:27:33Z 2017-09-28T04:27:33Z 2016-01-01 Journal 16860209 2-s2.0-85008414362 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008414362&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42525
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
description	© 2016 by the Mathematical Association of Thailand. All rights reserved. This study investigate the performance of a portfolio based on capital asset pricing model using a Bayesian statistics approach. We use a hierarchical model robustly to estimate the systematic risk of an asset. We assume that the returns follow independent normal distributions. MCMC sampling is applied to calculate all the parameters in the model. Finally, the Bayesian method gives us the probability of every possible asset returns, given the market returns and also the posterior predictions is a clue that the model could be improved.
format	Journal
author	Autchariyapanitkui K. Kunasri K. Sriboonchitta S.
spellingShingle	Autchariyapanitkui K. Kunasri K. Sriboonchitta S. Robust regression for capital asset pricing model using Bayesian approach
author_facet	Autchariyapanitkui K. Kunasri K. Sriboonchitta S.
author_sort	Autchariyapanitkui K.
title	Robust regression for capital asset pricing model using Bayesian approach
title_short	Robust regression for capital asset pricing model using Bayesian approach
title_full	Robust regression for capital asset pricing model using Bayesian approach
title_fullStr	Robust regression for capital asset pricing model using Bayesian approach
title_full_unstemmed	Robust regression for capital asset pricing model using Bayesian approach
title_sort	robust regression for capital asset pricing model using bayesian approach
publishDate	2017
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008414362&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42525
_version_	1681422205910515712

Robust regression for capital asset pricing model using Bayesian approach

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