Recognizing the problems of estimation error in computing risk premia via arbitrage pricing, this paper provides a Bayesian methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors. Some illustrative calculations based on UK equity are...

The copula function is considered within the context of financial multivariate data sets that are not normally distributed. The Bernstein polynomial approximation to copulae is given and motivated by its desirable properties. The multivariate convergence properties are analysed. The concept of...

We consider Sharpe’s one factor model of asset returns and its extension to K factors in order to explain theoretically why diversification can fail. This model can be used to explain nonlinear dependence amongst the assets in a portfolio. The result is intimately related to the tail...

We provide a new framework for identifying timing. Our analysis focuses on the smoothed joint history of the fund with the benchmark. The approach is fully non-parametric. Therefore, it has the advantage of avoiding the misspecification problems so common in this literature. The test statistic...

Models of social networks depict individuals' dependency. They offer a systematic way to capture the connectedness and opinion formations in the complex web of interpersonal influences. This paper studies price stability of a capital market, where the dynamics of participants' opinion formations...