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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Sign up to join this communityIs 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.
One relevant paper is:
Shenoy, C. and Shenoy, P.P., Bayesian network models of portfolio risk and return, 1999. PDF