Details

Bayesian Stability Concepts for Investment Managers


Bayesian Stability Concepts for Investment Managers



from: Tobias Setz, Diethelm Würtz

Fr. 88.60

Publisher: Finance Online
Format PDF
ISBN/EAN: 9783906041216
Language: englisch

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Descriptions

The eBook reprints several unpublished articles and reports from the Econophysics Group at ETH Zurich.The articles show how Bayesian stability concepts and related approaches can be used by investment managers to analyse their portfolio design and to improve performance and risk management. The book is devided into two parts. The first contains three Chapters about the theoretical background, and the second contains six Chapters with applications. The applications include topics from rating and ranking assets by stability, from stability parity indexation, from Bayesian switching strategies, from stabilization of portfolios, and from sector rotation. (Note: Chapter 7 and 8 are written in German).
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DiethelmWurtz is professor at the Institute for Theoretical Physics, ITP,and for the Curriculum Computational Science and Engineering, CSE, atthe Swiss Federal Institute of Technology in Zurich. He teaches Econophysicsat ITP and supervises seminars in FinancialEngineering. Diethelmis senior partner of Finance Online, an ETH spin-off company in Zurich,and co-founder and president of the Rmetrics Association in Zurich.

Tobias Setz has a Bachelor and Master degree in Computational Scienceand Engineering from ETH in Zurich and has contributed with his thesisprojects on wavelet and Bayesian change point analytics to this ebook.He is now a PhD student in the Econophysics group at ETH Zurich at theInstitute for Theoretical Physics.

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