Portfolio management under stress : a Bayesian-net approach to coherent asset allocation /
"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 Eur...
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| Language: | eng |
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Cambridge : Cambridge University Press,
2013
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| _version_ | 1796749971261751296 |
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| author | Rebonato, Riccardo, author Denev, Alexander, author |
| author_facet | Rebonato, Riccardo, author Denev, Alexander, author |
| author_sort | Rebonato, Riccardo, author |
| collection | OCEAN |
| description | "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 |
| first_indexed | 2024-03-05T13:44:43Z |
| format | |
| id | KOHA-OAI-TEST:504867 |
| institution | Universiti Teknologi Malaysia - OCEAN |
| language | eng |
| last_indexed | 2024-03-05T13:44:43Z |
| publishDate | 2013 |
| publisher | Cambridge : Cambridge University Press, |
| record_format | dspace |
| spelling | KOHA-OAI-TEST:5048672020-12-19T17:18:42ZPortfolio management under stress : a Bayesian-net approach to coherent asset allocation / Rebonato, Riccardo, author Denev, Alexander, author Cambridge : Cambridge University Press,2013eng"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 publisherIncludes bibliographical references and 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 publisherPSZJBLPortfolio managementInvestmentsFinancial riskURN:ISBN:9781107048119 (hbk.) |
| spellingShingle | Portfolio management Investments Financial risk Rebonato, Riccardo, author Denev, Alexander, author Portfolio management under stress : a Bayesian-net approach to coherent asset allocation / |
| title | Portfolio management under stress : a Bayesian-net approach to coherent asset allocation / |
| title_full | Portfolio management under stress : a Bayesian-net approach to coherent asset allocation / |
| title_fullStr | Portfolio management under stress : a Bayesian-net approach to coherent asset allocation / |
| title_full_unstemmed | Portfolio management under stress : a Bayesian-net approach to coherent asset allocation / |
| title_short | Portfolio management under stress : a Bayesian-net approach to coherent asset allocation / |
| title_sort | portfolio management under stress a bayesian net approach to coherent asset allocation |
| topic | Portfolio management Investments Financial risk |
| work_keys_str_mv | AT rebonatoriccardoauthor portfoliomanagementunderstressabayesiannetapproachtocoherentassetallocation AT denevalexanderauthor portfoliomanagementunderstressabayesiannetapproachtocoherentassetallocation |