Share
Portfolio Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation (in English)
Riccardo Rebonato
(Author)
·
Alexander Denev
(Author)
·
Cambridge University Press
· Hardcover
Portfolio Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation (in English) - Rebonato, Riccardo ; Denev, Alexander
$ 80.14
$ 89.99
You save: $ 9.85
Choose the list to add your product or create one New List
✓ Product added successfully to the Wishlist.
Go to My WishlistsIt will be shipped from our warehouse between
Monday, May 20 and
Tuesday, May 21.
You will receive it anywhere in United States between 1 and 3 business days after shipment.
Synopsis "Portfolio Management Under Stress: A Bayesian-Net Approach to Coherent Asset Allocation (in 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.
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
✓ Producto agregado correctamente al carro, Ir a Pagar.
