000			02088nam a2200289Ia 4500
003			OSt
005			20250711113445.0
008			220909b |||||||| |||| 00| 0 eng d
020			_a9781107048119
037			_cTextual
040			_aCSL _beng _cCSL
041			_aeng
084			_aB2T0bX:8 Q3 _qCSL
100			_aRebonato, Riccardo _eauthor.
245		0	_aPortfolio management under stress: a bayesian-net approach to coherent asset allocation _b: A bayesian-net approach to coherent asset allocation
260			_aUK : _bCUP; _c2013.
300			_axxvi, 491p. _b: ill.
500			_aAppendix 462-470p.; References 471-484p.; Index 485-491p.
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			_a Diversification and subjuctive views _9815351
650			_a Financial risk _9815352
650			_a Numerical implementation _9815353
650			_aInvestments _9578328
700			_aDenev, Alexander _eauthor. _9479714
942			_hB2T0bX:8 Q3 _cTEXL _2CC _n0
999			_c16333 _d16333