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 IV - How we deal with exceptional events
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
Having laid the groundwork for our approach, we finally reach the core of the book: Bayesian nets. In this part we present as simply as possible the theoretical foundations of the subject, with a focus on the problem at hand. In particular, given our emphasis on a causal approach, we present causal Bayesian nets, and we show that they afford very ‘pleasant’ mathematical and cognitive features. In this part the reader will begin to understand why structuring our Bayesian nets in a causal manner will be one of the cornerstones of the approach we propose.
- Type
- Chapter
- Information
- Portfolio Management under StressA Bayesian-Net Approach to Coherent Asset Allocation, pp. 101 - 104Publisher: Cambridge University PressPrint publication year: 2014