Has any research used Bayesian networks to estimate risk factor betas?

Question

Is there any published research on estimating the beta of a security with respect to one or more risk factors via Bayesian networks?

I'd like to see if this is a promising angle of research.

cyborg · Accepted Answer · 2011-10-23 00:01:29Z

up vote 6 down vote accepted

One relevant paper is:

Shenoy, C. and Shenoy, P.P., Bayesian network models of portfolio risk and return, 1999. PDF

answered Oct 23 '11 at 0:01

cyborg
1761

A related text is also Rebonato's "Coherent Stress Testing: A Bayesian Approach" – Quant Guy Nov 15 '11 at 1:52

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