Portfolio management under stress = ...
Rebonato, Riccardo.

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  • Portfolio management under stress = a Bayesian-net approach to coherent asset allocation /
  • 紀錄類型: 書目-電子資源 : Monograph/item
    正題名/作者: Portfolio management under stress/ by Riccardo Rebonato, Alexander Denev.
    其他題名: a Bayesian-net approach to coherent asset allocation /
    作者: Rebonato, Riccardo.
    其他作者: Denev, Alexander.
    出版者: Cambridge :Cambridge University Press, : 2013.,
    面頁冊數: xxvi, 491 p. :ill., digital ;24 cm.
    內容註: Machine generated contents note: Part I. Our Approach in Its Context: 1. How this book came about; 2. Correlation and causation; 3. Definitions and notation; Part II. Dealing with Extreme Events: 4. Predictability and causality; 5. Econophysics; 6. Extreme value theory; Part III. Diversification and Subjective Views; 7. Diversification in modern portfolio theory; 8. Stability: a first look; 9. Diversification and stability in the Black-Litterman model; 10. Specifying scenarios: the Meucci approach; Part IV. How We Deal with Exceptional Events: 11. Bayesian nets; 12. Building scenarios for causal Bayesian nets; Part V. Building Bayesian Nets in Practice: 13. Applied tools; 14. More advanced topics: elicitation; 15. Additional more advanced topics; 16. A real-life example: building a realistic Bayesian net; Part VI. Dealing with Normal-Times Returns: 17. Identification of the body of the distribution; 18. Constructing the marginals; 19. Choosing and fitting the copula; Part VII. Working with the Full Distribution: 20. Splicing the normal and exceptional distributions; 21. The links with CAPM and private valuations; Part VIII. A Framework for Choice: 22. Applying expected utility; 23. Utility theory: problems and remedies; Part IX. Numerical Implementation: 24. Optimizing the expected utility over the weights; 25. Approximations; Part X. Analysis of Portfolio Allocation: 26. The full allocation procedure: a case study; 27. Numerical analysis; 28. Stability analysis; 29. How to use Bayesian nets: our recommended approach; 30. Appendix I. The links with the Black-Litterman approach; 31. Appendix II. Marginals, copulae and the symmetry of return distributions; Index.
    標題: Portfolio management - Mathematical models. -
    電子資源: https://doi.org/10.1017/CBO9781107256736
    ISBN: 9781107256736
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W9313581 電子資源 11.線上閱覽_V 電子書 EB HG4529.5 .R43 2013 一般使用(Normal) 在架 0
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