2004, 2003-2004, English, Article, Working paper edition: Bayesian Estimation of Risk-Premia in an APT Context Darsinos, Theofanis; Satchell, Stephen E.

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Bookmark: http://trove.nla.gov.au/version/805
Physical Description
  • 278908 bytes, application/​pdf
  • Working Paper
Published
  • 2004-06-16T16:05:30Z
  • 2003-05
Language
  • English

Edition details

Title
  • Bayesian Estimation of Risk-Premia in an APT Context
Author
  • Darsinos, Theofanis
  • Satchell, Stephen E.
Published
  • 2004-06-16T16:05:30Z
  • 2003-05
Physical Description
  • 278908 bytes, application/​pdf
  • Working Paper
Subjects
Notes
  • Recognizing the problems of estimation error in computing risk premia via arbitrage pricing, this paper provides a Bayesian methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors. Some illustrative calculations based on UK equity are also provided.
Language
  • English
Contributed by
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