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999			_c48616 _d48616
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003			CITU
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008			130923s2013 enka b 001 0 eng
010			_a 2013037705
020			_a9781107256736
040			_aDLC _beng _cDLC _erda _dDLC
041			_aeng.
042			_apcc
050	0	0	_aHG4529.5 _b.R43 2013
082	0	0	_a332.601/519542 _223
084			_aBUS027000 _2bisacsh
100	1		_aRebonato, Riccardo.
245	1	0	_aPortfolio management under stress : _ba Bayesian-net approach to coherent asset allocation / _cRiccardo Rebonato and Alexander Denev.
264		1	_aCambridge : _bCambridge University Press, _c2013.
300			_a1 online resource (xxvi, 491 pages) _billustrations
336			_2rdacontent _atext _btxt
337			_2rdamedia _acomputer _bc
338			_2rdacarrier _aonline resource _bcr
504			_aIncludes bibliographical references (pages 471-484) and index.
504			_aIncludes bibliographical references and index.
505	8		_aMachine 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			_a"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"-- _cProvided by publisher.
650		0	_aPortfolio management _xMathematical models.
650		0	_aInvestments _xMathematical models.
650		0	_aFinancial risk _xMathematical models.
655		0	_aElectronic books.
700	1		_aDenev, Alexander.
856			_zFull text available from Cambridge University Press Click here to view _uhttps://www.cambridge.org/core/books/portfolio-management-under-stress/481A8284865AAF4894011413D5E2D487
906			_a7 _bcbc _corignew _d1 _eecip _f20 _gy-gencatlg
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