Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
The Ideal Risk, Uncertainty, and Performance Measures
Published on 19. February 2008
416 pages
978-0-470-25360-1 (ISBN)
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.
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Svetlozar T. Rachev | Stoyan V. Stoyanov | Frank J. Fabozzi
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
The Ideal Risk, Uncertainty, and Performance Measures
Book
04/2008
Wiley
€93.00
Shipment within 10-20 days
Persons
Svetlozar T. Rachev, PhD, Doctor of Science, isChair-Professor at the University of Karlsruhe in the School ofEconomics and Business Engineering; Professor Emeritus at theUniversity of California, Santa Barbara; and Chief-Scientist ofFinAnalytica Inc.
Stoyan V. Stoyanov, PhD, is the Chief FinancialResearcher at FinAnalytica Inc.
Frank J. Fabozzi, PhD, CFA, is Professor in the Practiceof Finance and Becton Fellow at Yale University's School ofManagement and the Editor of the Journal of PortfolioManagement.
