Business & Economics Books:

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization

The Ideal Risk, Uncertainty, and Performance Measures

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Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization by Svetlozar T Rachev
$146.99
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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.

Author Biography

Svetlozar T. Rachev, PhD, Doctor of Science, is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering; Professor Emeritus at the University of California, Santa Barbara; and Chief-Scientist of FinAnalytica Inc. Stoyan V. Stoyanov, PhD, is the Chief Financial Researcher at FinAnalytica Inc. Frank J. Fabozzi, PhD, CFA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management and the Editor of the Journal of Portfolio Management.
Release date NZ
April 11th, 2008
Country of Publication
United Kingdom
Imprint
John Wiley & Sons Ltd
Pages
382
Dimensions
162x234x35
ISBN-13
9780470053164
Product ID
3082337

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