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

• 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
• Online Access: Click Here to View Status and Holdings.

 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 allocation 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." -- Provided by publisher