The Time Varying Bayesian Beta
April 21, 2022
April 21, 2022
Vasicek’s Bayesian approach for estimating security beta has been widely accepted in the financial services industry, but is it too static? Giuseppe Corvasce proposes an alternate time-varying estimator that is intended to better depict the sensitivity of an asset with respect to the market portfolio.
•Bylaws •Code of Conduct •Privacy Notice •Terms of Use © 2022 Global Association of Risk Professionals