Bayesian Network Models of Portfolio Risk and Return

Abstract

...................................................................................................................................... 1 1. Introduction ............................................................................................................................ 1 2. Traditional Portfolio Return Models........................................................................................ 3 3. Bayesian Networks ................................................................................................................. 4 3.1. Semantics of Bayesian Networks ..................................................................................... 4 3.2. Making Inferences in Bayesian Networks......................................................................... 6 4. A Bayesian Network Model of Multi-Factor Portfolio Return ................................................. 7 4.1. Description of a Gold Stock Portfolio Network ..................................................

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