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Portfolio Management Under Stress - 9781107048119
Un libro in lingua di Riccardo Rebonato Alexander Devev edito da Cambridge Univ Pr, 2014
- € 58.80
- Il prezzo è variabile in funzione del cambio della valuta d’origine
"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"--
Informazioni bibliografiche
- Titolo del Libro in lingua: Portfolio Management Under Stress
- Sottotitolo: A Bayesian-net Approach to Coherent Asset Allocation
- Lingua: English
- Autori : Riccardo Rebonato Alexander Devev
- Editore: Cambridge Univ Pr
- Collana: Cambridge Univ Pr (Hardcover)
- Data di Pubblicazione: 28 Febbraio '14
- Genere: BUSINESS and ECONOMICS
- Argomenti : Portfolio management Mathematical models Investments Mathematical models Financial risk Mathematical models
- Pagine: 491
- ISBN-10: 1107048117
- EAN-13: 9781107048119