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| 001 - CONTROL NUMBER |
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| control field |
17894731 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
CITU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20230214151704.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr an aaaaaaaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
130923s2013 enka b 001 0 eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
|---|
| LC control number |
2013037705 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781107256736 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Transcribing agency |
DLC |
| Description conventions |
rda |
| Modifying agency |
DLC |
| 041 ## - LANGUAGE CODE |
|---|
| Language code of text/sound track or separate title |
eng. |
| 042 ## - AUTHENTICATION CODE |
|---|
| Authentication code |
pcc |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG4529.5 |
| Item number |
.R43 2013 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.601/519542 |
| Edition number |
23 |
| 084 ## - OTHER CLASSIFICATION NUMBER |
|---|
| Classification number |
BUS027000 |
| Number source |
bisacsh |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Rebonato, Riccardo. |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Portfolio management under stress : |
| Remainder of title |
a Bayesian-net approach to coherent asset allocation / |
| Statement of responsibility, etc. |
Riccardo Rebonato and Alexander Denev. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge : |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
1 online resource (xxvi, 491 pages) |
| Other physical details |
illustrations |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
computer |
| Media type code |
c |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
online resource |
| Carrier type code |
cr |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc. note |
Includes bibliographical references (pages 471-484) and index. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc. note |
Includes bibliographical references and index. |
| 505 8# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Machine generated contents note: Part I. Our Approach in Its Context: 1. How this book came about; 2. Correlation and causation; 3. Definitions and notation; Part II. Dealing with Extreme Events: 4. Predictability and causality; 5. Econophysics; 6. Extreme value theory; Part III. Diversification and Subjective Views; 7. Diversification in modern portfolio theory; 8. Stability: a first look; 9. Diversification and stability in the Black-Litterman model; 10. Specifying scenarios: the Meucci approach; Part IV. How We Deal with Exceptional Events: 11. Bayesian nets; 12. Building scenarios for causal Bayesian nets; Part V. Building Bayesian Nets in Practice: 13. Applied tools; 14. More advanced topics: elicitation; 15. Additional more advanced topics; 16. A real-life example: building a realistic Bayesian net; Part VI. Dealing with Normal-Times Returns: 17. Identification of the body of the distribution; 18. Constructing the marginals; 19. Choosing and fitting the copula; Part VII. Working with the Full Distribution: 20. Splicing the normal and exceptional distributions; 21. The links with CAPM and private valuations; Part VIII. A Framework for Choice: 22. Applying expected utility; 23. Utility theory: problems and remedies; Part IX. Numerical Implementation: 24. Optimizing the expected utility over the weights; 25. Approximations; Part X. Analysis of Portfolio Allocation: 26. The full allocation procedure: a case study; 27. Numerical analysis; 28. Stability analysis; 29. How to use Bayesian nets: our recommended approach; 30. Appendix I. The links with the Black-Litterman approach; 31. Appendix II. Marginals, copulae and the symmetry of return distributions; Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
"Portfolio Management Under Stress offers a novel way to apply the well-established Bayesian-net methodology to the important problem of asset allocation under conditions of market distress or, more generally, when an investor believes that a particular scenario (such as the break-up of the Euro) may occur. Employing a coherent and thorough approach, it provides practical guidance on how best to choose an optimal and stable asset allocation in the presence of user-specified scenarios or 'stress conditions'. The authors place causal explanations, rather than association-based measures such as correlations, at the core of their argument, and insights from the theory of choice under ambiguity aversion are invoked to obtain stable allocations results. Step-by-step design guidelines are included to allow readers to grasp the full implementation of the approach, and case studies provide clarification. This insightful book is a key resource for practitioners and research academics in the post-financial crisis world"-- |
| Assigning source |
Provided by publisher. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Portfolio management |
| General subdivision |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Investments |
| General subdivision |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Financial risk |
| General subdivision |
Mathematical models. |
| 655 #0 - INDEX TERM--GENRE/FORM |
|---|
| Genre/form data or focus term |
Electronic books. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Denev, Alexander. |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Public note |
Full text available from Cambridge University Press Click here to view |
| Uniform Resource Identifier |
<a href="https://www.cambridge.org/core/books/portfolio-management-under-stress/481A8284865AAF4894011413D5E2D487">https://www.cambridge.org/core/books/portfolio-management-under-stress/481A8284865AAF4894011413D5E2D487</a> |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) |
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| a |
7 |
| b |
cbc |
| c |
orignew |
| d |
1 |
| e |
ecip |
| f |
20 |
| g |
y-gencatlg |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Koha item type |
BOOK |