Home Portfolio Management under Stress: A Bayesian-Net Approach to Coherent Asset Allocation

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

Rebonato and Denev present a truly groundbreaking approach to stress testing methodology. Risk models based exclusively on historical data have proven their shortcomings by failing to warn us about recent major events that shook the financial world, ...

Description

Hardcover: 518 pages
Publisher: Cambridge University Press (February 24, 2014)
Language: English
ISBN-10: 9781107048119
ISBN-13: 978-1107048119
ASIN: 1107048117
Product Dimensions: 6.7 x 1.1 x 9.6 inches
Amazon Rank: 978574
Format: PDF ePub djvu ebook

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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...

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