Book contents
- Frontmatter
- Dedication
- Contents
- List of figures
- List of tables
- Acknowledgements
- Part I Our approach in its context
- Part II Dealing with extreme events
- Part III Diversification and subjective views
- Part IV How we deal with exceptional events
- Part V Building Bayesian nets in practice
- Part VI Dealing with normal-times returns
- Part VII Working with the full distribution
- Part VIII A framework for choice
- Part IX Numerical implementation
- Part X Analysis of portfolio allocation
- Appendix I The links with the Black–Litterman approach
- References
- Index
Part I - Our approach in its context
Published online by Cambridge University Press: 18 December 2013
- Frontmatter
- Dedication
- Contents
- List of figures
- List of tables
- Acknowledgements
- Part I Our approach in its context
- Part II Dealing with extreme events
- Part III Diversification and subjective views
- Part IV How we deal with exceptional events
- Part V Building Bayesian nets in practice
- Part VI Dealing with normal-times returns
- Part VII Working with the full distribution
- Part VIII A framework for choice
- Part IX Numerical implementation
- Part X Analysis of portfolio allocation
- Appendix I The links with the Black–Litterman approach
- References
- Index
Summary
In the first part of this book we explain why taking ‘stress’ events into account is so important in portfolio construction. We argue that the possibility of non-normal events should always be taken into account in the construction of the portfolio, and not only in periods of crisis. We also provide a conceptual framework for dealing with exceptional events, based on causation rather than association.
- Type
- Chapter
- Information
- Portfolio Management under StressA Bayesian-Net Approach to Coherent Asset Allocation, pp. 1 - 4Publisher: Cambridge University PressPrint publication year: 2014