Portfolio Management under Stress

A Bayesian-Net Approach to Coherent Asset Allocation

Business & Finance, Finance & Investing, Finance, Nonfiction, Science & Nature, Mathematics
Cover of the book Portfolio Management under Stress by Riccardo Rebonato, Alexander Denev, Cambridge University Press
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Riccardo Rebonato, Alexander Denev ISBN: 9781107703391
Publisher: Cambridge University Press Publication: January 9, 2014
Imprint: Cambridge University Press Language: English
Author: Riccardo Rebonato, Alexander Denev
ISBN: 9781107703391
Publisher: Cambridge University Press
Publication: January 9, 2014
Imprint: Cambridge University Press
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Cambridge University Press

Cover of the book The Cambridge Companion to Mark Twain by Riccardo Rebonato, Alexander Denev
Cover of the book Science and Risk Regulation in International Law by Riccardo Rebonato, Alexander Denev
Cover of the book Kant's Theory of Virtue by Riccardo Rebonato, Alexander Denev
Cover of the book The Value of Arts for Business by Riccardo Rebonato, Alexander Denev
Cover of the book The Mighty and the Almighty by Riccardo Rebonato, Alexander Denev
Cover of the book Advances in Comparative-Historical Analysis by Riccardo Rebonato, Alexander Denev
Cover of the book Constraining Elites in Russia and Indonesia by Riccardo Rebonato, Alexander Denev
Cover of the book Inequalities for Graph Eigenvalues by Riccardo Rebonato, Alexander Denev
Cover of the book Contesting Slave Masculinity in the American South by Riccardo Rebonato, Alexander Denev
Cover of the book Appropriating the Past by Riccardo Rebonato, Alexander Denev
Cover of the book The Cambridge Companion to American Gay and Lesbian Literature by Riccardo Rebonato, Alexander Denev
Cover of the book The Cambridge Companion to the Musical by Riccardo Rebonato, Alexander Denev
Cover of the book Searching for Truth in the Transitional Justice Movement by Riccardo Rebonato, Alexander Denev
Cover of the book The Future of Electricity Demand by Riccardo Rebonato, Alexander Denev
Cover of the book Sea-Level Science by Riccardo Rebonato, Alexander Denev
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy