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Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
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The Ideal Risk, Uncertainty, and Performance Measures
E-Book
Sofort lieferbar | Lieferzeit: Sofort lieferbar
Artikel-Nr:
9780470253601
Veröffentl:
2008
Einband:
E-Book
Seiten:
400
Autor:
Svetlozar T. Rachev
Serie:
Frank J. Fabozzi Series
eBook Typ:
PDF
eBook Format:
Reflowable E-Book
Kopierschutz:
Adobe DRM [Hard-DRM]
Sprache:
Englisch
Beschreibung:
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.