Portfolio management under stress : a Bayesian-net approach to coherent asset allocation / Riccardo Rebonato and Alexander Denev.
By: Rebonato, Riccardo
Contributor(s): Denev, Alexander
Language: English Publisher: Cambridge : Cambridge University Press, 2013Description: 1 online resource (xxvi, 491 pages) illustrationsContent type: text Media type: computer Carrier type: online resourceISBN: 9781107256736Subject(s): Portfolio management -- Mathematical models | Investments -- Mathematical models | Financial risk -- Mathematical modelsGenre/Form: Electronic books.DDC classification: 332.601/519542 LOC classification: HG4529.5 | .R43 2013Other classification: BUS027000 Online resources: Full text available from Cambridge University Press Click here to viewItem type | Current location | Home library | Call number | Status | Date due | Barcode | Item holds |
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EBOOK | COLLEGE LIBRARY | COLLEGE LIBRARY | 332.601519542 R242 2013 (Browse shelf) | Available | CL- 46167 |
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332.60151 Si79 2014 Mathematics of investment / | 332.60151 Si79 2022 Mathematics of investment / | 332.6015195 F9156 2007 Mathematical finance : theory, modeling, implementation / | 332.601519542 R242 2013 Portfolio management under stress : a Bayesian-net approach to coherent asset allocation / | 332.602373 Eb39 1999 Careers for financial mavens & other money movers / | 332.6028563 N163 2021 Artificial intelligence for asset management and investment : a strategic perspective / | 332.60285631 M1843 2020 Machine learning for asset management : new trends and challenges / |
Includes bibliographical references (pages 471-484) and index.
Includes bibliographical references and index.
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.
"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"-- Provided by publisher.
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