Setz T., Würtz D. Bayesian Stability Concepts for Investment Managers

Rmetrics Associa6on & Finance Online Publishing, 2014. — 234 p. — (R/Rmetrics eBook Series). — ISBN: 9783906041216.The eBook reprints several unpublished articles and reports from the Econophysics Group at ETH Zurich.The articles show how Bayesian stability concepts and related approaches can be used by investment managers to analyze their portfolio design and to improve performance and risk management. The book is devided into two parts. The first contains three Chapters about the theoretical background, and the second contains six Chapters with applications. The applications include topics from rating and ranking assets by stability, from stability parity indexation, from Bayesian switching strategies, from stabilization of portfolios, and from sector rotation. (Note: Chapter 7 and 8 are written in German).