| Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization Contributor(s): Rachev, Svetlozar T. (Author) |
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ISBN: 047005316X ISBN-13: 9780470053164 Publisher: Wiley OUR PRICE: $90.00 Product Type: Hardcover - Other Formats Published: February 2008 Annotation: An introduction to stochastic models for risk evaluation and portfolio selection enhanced by insights from the field of probability metrics and optimization theory This book 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. |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General |
| Dewey: 332.015 |
| Series: Frank J. Fabozzi |
| Physical Information: 1.33" H x 6.43" W x 8.99" (1.32 lbs) 400 pages |
| Descriptions, Reviews, Etc. |
| Publisher 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. |