Commentaire :

ISBN 13 : 978-1107048119

Sommaire : 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.

Langue : Français

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque