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The Resource Portfolio management under stress : a Bayesian-net approach to coherent asset allocation, Riccardo Rebonato and Alexander Denev

Portfolio management under stress : a Bayesian-net approach to coherent asset allocation, Riccardo Rebonato and Alexander Denev

Label
Portfolio management under stress : a Bayesian-net approach to coherent asset allocation
Title
Portfolio management under stress
Title remainder
a Bayesian-net approach to coherent asset allocation
Statement of responsibility
Riccardo Rebonato and Alexander Denev
Creator
Contributor
Author
Subject
Language
eng
Summary
"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"--
Assigning source
Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorName
Rebonato, Riccardo
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Denev, Alexander
http://library.link/vocab/subjectName
  • Portfolio management
  • Investments
  • Financial risk
Label
Portfolio management under stress : a Bayesian-net approach to coherent asset allocation, Riccardo Rebonato and Alexander Denev
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
Contents
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
Control code
FIEb1750661x
Dimensions
25 cm.
Extent
xxv, 491 pages
Isbn
9781107048119
Media category
unmediated
Media MARC source
rdamedia.
System control number
(OCoLC)876287277
Label
Portfolio management under stress : a Bayesian-net approach to coherent asset allocation, Riccardo Rebonato and Alexander Denev
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
volume
Carrier MARC source
rdacarrier.
Content category
text
Content type MARC source
rdacontent.
Contents
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
Control code
FIEb1750661x
Dimensions
25 cm.
Extent
xxv, 491 pages
Isbn
9781107048119
Media category
unmediated
Media MARC source
rdamedia.
System control number
(OCoLC)876287277

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