New Book: Bayesian Stability Concepts for Investment Managers

The new eBook on Bayesian "Stability Concepts" is now available in the Rmetrics Bookstore!


The newest part of the Rmetrics Book Series finally arrived with the title Bayesian Stability Concepts for Investment Managers


Tobias Setz and Diethelm Wuertz
Rmetrics Association & Finance Online Publishing, Zurich
ISBN: 978-3-906041-21-6


The eBook reprints several unpublished articles and reports from the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).

Please order from the Rmetrics Bookstore