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Portfolio Management under Stress: A Bayesian-Net Approach to Coherent Asset Allocation
Portfolio Management under Stress A BayesianNet Approach to Coherent Asset Allocation
Author: Riccardo Rebonato, Alexander Denev
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 appro...  more »
ISBN-13: 9781107048119
ISBN-10: 1107048117
Publication Date: 2/24/2014
Pages: 515
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Publisher: Cambridge University Press
Book Type: Hardcover
Members Wishing: 0
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