Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
The Ideal Risk, Uncertainty, and Performance Measures (Frank J. Fabozzi Series)
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Publication
2008-02-25 - Wiley
Language
English
Word Count
100,000 words, Guess
Page Count
400 pages
Physical Format
Hardcover
Identifiers
- Open LibraryOL10278694M
- ISBN-139780470053164
- ISBN-10047005316X
- Library of Congress Control Number2008272919
- LibraryThing7827154
and 1 more
- Goodreads3005407
Classifications
- LCCHG4529.5 .R329 2008
- LCCHG4529.5
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.
Subjects
Other Editions
- Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
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