Holy Name University Library

Portfolio management under stress : (Record no. 121054)

000 -LEADER
fixed length control field 04033nam a22003618i 4500
001 - CONTROL NUMBER
control field CR9781107256736
003 - CONTROL NUMBER IDENTIFIER
control field UkCbUP
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20201015164141.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS
fixed length control field m|||||o||d||||||||
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr||||||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 130517s2013||||enk o ||1 0|eng|d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781107256736 (ebook)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Canceled/invalid ISBN 9781107048119 (hardback)
040 ## - CATALOGING SOURCE
Original cataloging agency UkCbUP
Language of cataloging eng
Description conventions rda
Transcribing agency
050 00 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG4529.5
Item number .R43 2013
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.601/519542
Edition number 23
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Rebonato, Riccardo,
Relator term author.
245 10 - TITLE STATEMENT
Title Portfolio management under stress :
Remainder of title a Bayesian-net approach to coherent asset allocation /
Statement of responsibility, etc. Riccardo Rebonato and Alexander Denev.
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Place of production, publication, distribution, manufacture Cambridge :
Name of producer, publisher, distributor, manufacturer Cambridge University Press,
Date of production, publication, distribution, manufacture, or copyright notice 2013.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (xxvi, 491 pages) :
Other physical details digital, PDF file(s).
336 ## - CONTENT TYPE
Content type term text
Content type code txt
Source rdacontent
337 ## - MEDIA TYPE
Media type term computer
Media type code c
Source rdamedia
338 ## - CARRIER TYPE
Carrier type term online resource
Carrier type code cr
Source rdacarrier
500 ## - GENERAL NOTE
General note Title from publisher's bibliographic system (viewed on 05 Oct 2015).
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 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.
520 ## - SUMMARY, ETC.
Summary, etc. 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 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.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Portfolio management
General subdivision Mathematical models.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Investments
General subdivision Mathematical models.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Financial risk
General subdivision Mathematical models.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Denev, Alexander,
Relator term author.
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Relationship information Print version:
International Standard Book Number 9781107048119
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://doi.org/10.1017/CBO9781107256736">https://doi.org/10.1017/CBO9781107256736</a>

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