Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures
This book provides an introduction to stochastic models for risk evaluation and portfolio selection enhanced by insights from the field of...
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This book provides an introduction to stochastic models for risk evaluation and portfolio selection enhanced by insights from the field of probability metrics and optimization theory. It extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. They introduce the reader to the rudiments of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Svetlozar T. Rachev, PhD, DrSci (Karlsruhe, Germany) is currently Chair-Professor in Statistics, Econometrics, and Mathematical Finance at the University of Karlsruhe. Stoyan V. Stoyanov, PhD (Sofia, Bulgaria) is the Chief Financial Researcher at FinAnlytica Inc. Frank J. Fabozzi, PhD, CFA (New Hope, PA) is Professor in the Practice of Finance at Yale University's School of Management.
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- ISBN10:0470253606
- ISBN13:9780470253601
- kindle Asin:0470253606
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