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 DescriptionThis 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 DetailsISBN: 9780470053164
(234mm x 162mm x 35mm)
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, 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, 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, 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, Hardback (October 2010)» View all books by Svetlozar T. Rachev
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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