Robust Regression for Capital Asset Pricing Model Using Bayesian Approach

K. Autchariyapanitkul, K. Kunasri, S. Sriboonchitta

Abstract


This study investigate the performance of a portfolio based on capitalasset pricing model using a Bayesian statistics approach. We use a hierarchicalmodel robustly to estimate the systematic risk of an asset. We assume that thereturns follow independent normal distributions. MCMC sampling is applied tocalculate all the parameters in the model. Finally, the Bayesian method gives usthe probability of every possible asset returns, given the market returns and alsothe posterior predictions is a clue that the model could be improved.

Full Text: PDF

Refbacks

  • There are currently no refbacks.


The Thai Journal of Mathematics organized and supported by The Mathematical Association of Thailand and Thailand Research Council and the Center for Promotion of Mathematical Research of Thailand (CEPMART).

Copyright 2020 by the Mathematical Association of Thailand.

All rights reserve. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, without the prior permission of the Mathematical Association of Thailand.

|ISSN 1686-0209|