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:	K. Autchariyapanitkui, K. Kunasri, S. Sriboonchitta
Format:	Journal
Published:	2018
Subjects:	Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008414362&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55984
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-55984
record_format	dspace
spelling	th-cmuir.6653943832-559842018-09-05T03:07:04Z Robust regression for capital asset pricing model using Bayesian approach K. Autchariyapanitkui K. Kunasri S. Sriboonchitta Mathematics © 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. 2018-09-05T03:07:04Z 2018-09-05T03:07:04Z 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/6653943832/55984
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Mathematics
spellingShingle	Mathematics K. Autchariyapanitkui K. Kunasri S. Sriboonchitta Robust regression for capital asset pricing model using Bayesian approach
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	K. Autchariyapanitkui K. Kunasri S. Sriboonchitta
author_facet	K. Autchariyapanitkui K. Kunasri S. Sriboonchitta
author_sort	K. Autchariyapanitkui
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	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008414362&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55984
_version_	1681424607248121856

Robust regression for capital asset pricing model using Bayesian approach

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