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Bayesian Methods in Multiperiod Financial Decision Making

In: Probability and Bayesian Statistics

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  • Peter Kischka

    (Universität Karlsruhe)

Abstract

Bayesian methods are applied in financial decision making in order to incorporate estimation risk and/or to incorporate subjective elements in the decision process. In both cases it is assumed, that the distributions of the rates of return depend on some parameter and there is a diffuse or an informative prior distribution for this parameter.From a decision theoretic point of view this approach is justified in Klein et al. (1978), the strong economic reasins to do so are demonstrated e.g. in Bawa et al. (1979), Kischka (1984).

Suggested Citation

  • Peter Kischka, 1987. "Bayesian Methods in Multiperiod Financial Decision Making," Springer Books, in: R. Viertl (ed.), Probability and Bayesian Statistics, pages 295-303, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-1885-9_31
    DOI: 10.1007/978-1-4613-1885-9_31
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