000			04053nam a2200373 i 4500
001			CR9781107256736
003			UkCbUP
005			20240913195010.0
006			m|||||o||d||||||||
007			cr||||||||||||
008			130517s2013||||enk o ||1 0|eng|d
020			_a9781107256736 (ebook)
020			_z9781107048119 (hardback)
040			_aUkCbUP _beng _erda _cUkCbUP
050	0	0	_aHG4529.5 _b.R43 2013
082	0	0	_a332.601/519542 _223
100	1		_aRebonato, Riccardo, _eauthor.
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) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
500			_aTitle from publisher's bibliographic system (viewed on 05 Oct 2015).
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			_aPortfolio 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.
650		0	_aPortfolio management _xMathematical models.
650		0	_aInvestments _xMathematical models.
650		0	_aFinancial risk _xMathematical models.
700	1		_aDenev, Alexander, _eauthor.
776	0	8	_iPrint version: _z9781107048119
856	4	0	_uhttps://doi.org/10.1017/CBO9781107256736
942			_2ddc _cEB
999			_c9153 _d9153