Portfolio Management Under Stress A Bayesian-Net Approach to Coherent Asset Allocation

Portfolio Management Under Stress A Bayesian-Net Approach to Coherent Asset Allocation

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...

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Bibliographic Details
Main Authors: Rebonato, Riccardo (Author), Denev, Alexander (Author)
Format: Book
Language:English
Published: Cambridge Cambridge University Press 2014
Subjects:
Portfolio management > Mathematical model
Investments > Mathematical model
Financial risk > Mathematical model
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