Svetlozar T. Rachev, PhD, 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 FinAnalytica Inc.John S. J. Hsu, PhD, is Professor of Statistics and Applied Probability at the University of California, Santa Barbara.Biliana S. Bagasheva, PhD, 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, PhD, 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.

• Preface xvAbout the Authors xviiCHAPTER 1 Introduction 1CHAPTER 2 The Bayesian Paradigm 6CHAPTER 3 Prior and Posterior Information, Predictive Inference 22CHAPTER 4 Bayesian Linear Regression Model 43CHAPTER 5 Bayesian Numerical Computation 61CHAPTER 6 Bayesian Framework For Portfolio Allocation 92CHAPTER 7 Prior Beliefs and Asset Pricing Models 118CHAPTER 8 The Black-Litterman Portfolio Selection Framework 141CHAPTER 9 Market Efficiency and Return Predictability 162CHAPTER 10 Volatility Models 185CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models 202CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models 229CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection 247CHAPTER 14 Multifactor Equity Risk Models 280References 298Index 311

Svetlozar T. Rachev, PhD, 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 FinAnalytica Inc.John S. J. Hsu, PhD, is Professor of Statistics and Applied Probability at the University of California, Santa Barbara.Biliana S. Bagasheva, PhD, 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, PhD, 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.

• Preface xvAbout the Authors xviiCHAPTER 1 Introduction 1CHAPTER 2 The Bayesian Paradigm 6CHAPTER 3 Prior and Posterior Information, Predictive Inference 22CHAPTER 4 Bayesian Linear Regression Model 43CHAPTER 5 Bayesian Numerical Computation 61CHAPTER 6 Bayesian Framework For Portfolio Allocation 92CHAPTER 7 Prior Beliefs and Asset Pricing Models 118CHAPTER 8 The Black-Litterman Portfolio Selection Framework 141CHAPTER 9 Market Efficiency and Return Predictability 162CHAPTER 10 Volatility Models 185CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models 202CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models 229CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection 247CHAPTER 14 Multifactor Equity Risk Models 280References 298Index 311

Svetlozar T. Rachev, PhD, 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 FinAnalytica Inc.John S. J. Hsu, PhD, is Professor of Statistics and Applied Probability at the University of California, Santa Barbara.Biliana S. Bagasheva, PhD, 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, PhD, 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.

• Preface xvAbout the Authors xviiCHAPTER 1 Introduction 1CHAPTER 2 The Bayesian Paradigm 6CHAPTER 3 Prior and Posterior Information, Predictive Inference 22CHAPTER 4 Bayesian Linear Regression Model 43CHAPTER 5 Bayesian Numerical Computation 61CHAPTER 6 Bayesian Framework For Portfolio Allocation 92CHAPTER 7 Prior Beliefs and Asset Pricing Models 118CHAPTER 8 The Black-Litterman Portfolio Selection Framework 141CHAPTER 9 Market Efficiency and Return Predictability 162CHAPTER 10 Volatility Models 185CHAPTER 11 Bayesian Estimation of ARCH-Type Volatility Models 202CHAPTER 12 Bayesian Estimation of Stochastic Volatility Models 229CHAPTER 13 Advanced Techniques for Bayesian Portfolio Selection 247CHAPTER 14 Multifactor Equity Risk Models 280References 298Index 311