A Bayesian-Net Approach to Coherent Asset Allocation
by
Riccardo Rebonato, Alexander Denev
Language: English
Release Date: January 9, 2014
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...