000			02152nam a22003017a 4500
001			sulb-eb0015878
003			BD-SySUS
005			20160405134448.0
008			130517s2013||||enk o ||1 0|eng|d
020			_a9781107256736 (ebook)
020			_z9781107048119 (hardback)
040			_aUkCbUP _beng _erda _cUkCbUP
050	0	0	_aHG4529.5 _b.R43 2013
082	0	0	_a332.601/519542 _223
100	1		_aRebonato, Riccardo, _eauthor.
245	1	0	_aPortfolio Management under Stress : _bA Bayesian-Net Approach to Coherent Asset Allocation / _cRiccardo Rebonato, Alexander Denev.
264		1	_aCambridge : _bCambridge University Press, _c2013.
300			_a1 online resource (516 pages) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
500			_aTitle from publisher's bibliographic system (viewed on 04 Apr 2016).
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.
700	1		_aDenev, Alexander, _eauthor.
776	0	8	_iPrint version: _z9781107048119
856	4	0	_uhttp://dx.doi.org/10.1017/CBO9781107256736
942			_2Dewey Decimal Classification _ceBooks
999			_c37722 _d37722