ENGLISH

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures

By Svetlozar T. Rachev , Frank J. Fabozzi CFA , Stoyan V. Stoyanov

Book information

Publisher
Wiley
Year
2008
ISBN
047005316X, 9780470053164, 9780470253601
Open Library ID
OL10278694M
Language
english
Format
PDF
Filesize
4 MB (4020974 bytes)
Series
Frank J. Fabozzi Series
Pages
382\403
Library
Mexmat
Time added
2011-02-23 10:11:24

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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