Riccardo Rebonato, Alexander Denev

Portfolio Management under Stress

• Gebundenes Buch

Produktbeschreibung

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.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 518
• Erscheinungstermin: 29. November 2016
• Englisch
• Abmessung: 250mm x 175mm x 32mm
• Gewicht: 1064g
• ISBN-13: 9781107048119
• ISBN-10: 1107048117
• Artikelnr.: 39631274

Autorenporträt

Riccardo Rebonato is Global Head of Rates and FX Analytics at PIMCO, and a visiting lecturer in Mathematical Finance at Oxford University (OCIAM). He has previously held positions as Head of Risk Management and Head of Derivatives Trading at several major international financial institutions. Dr Rebonato has been on the Board of ISDA (2002-2011) and still serves on the Board of GARP (2001 to present). He is the author of several books in finance and an editor for several journals (International Journal of Theoretical and Applied Finance, Journal of Risk, Applied Mathematical Finance, Journal of Risk for Financial Institutions).

Inhaltsangabe

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.