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

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

Book 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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Book Details

ISBN: 9780470053164
ISBN-10: 047005316X
Format: Hardback
(234mm x 162mm x 35mm)
Pages: 382
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 11-Apr-2008
Country of Publication: United Kingdom

Books By Author Svetlozar T. Rachev

Basics of Financial Econometrics by Svetlozar T. Rachev Basics of Financial Econometrics, Hardback (April 2014)

An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance.

Financial Models with Levy Processes and Volatility Clustering by Svetlozar T. Rachev Financial Models with Levy Processes and Volatility Clustering, Hardback (March 2011)

* In this book, authors Rachev, Kim, Bianchi, and Fabozzi present readers with the notions of risk and their corresponding performance measures.

Probability Metrics Approach to Financial Risk Measures by Svetlozar T. Rachev Probability Metrics Approach to Financial Risk Measures, Hardback (January 2011)

A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. The book helps to answer the question: which risk measure is best for a given problem.

Probability and Statistics for Finance by Svetlozar T. Rachev Probability and Statistics for Finance, Hardback (October 2010)

A comprehensive look at how probability and statistics is applied to the investment process Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before.

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Author Biography - Svetlozar T. Rachev

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.

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