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.
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asked Oct 21 '11 at 22:33
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One relevant paper is:
Shenoy, C. and Shenoy, P.P., Bayesian network models of portfolio risk and return, 1999. PDF
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1$\begingroup$ A related text is also Rebonato's "Coherent Stress Testing: A Bayesian Approach" $\endgroup$ – Ram Ahluwalia Nov 15 '11 at 1:52
