Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization : The Ideal Risk, Uncertainty, and Performance Measures Hardback
by Svetlozar T. (University of California, Santa Barbara) Rachev, Stoyan V. Stoyanov, Frank J. (School of Management, Yale University) Fabozzi
Part of the Frank J. Fabozzi Series series
Hardback
- Information
Description
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.
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:400 pages
- Publisher:John Wiley & Sons Inc
- Publication Date:11/04/2008
- Category:
- ISBN:9780470053164
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:400 pages
- Publisher:John Wiley & Sons Inc
- Publication Date:11/04/2008
- Category:
- ISBN:9780470053164