Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures /

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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Rachev, S. T. (Svetlozar Todorov)
Other Authors: Stoyanov, Stoyan V., Fabozzi, Frank J.
Format: Electronic eBook
Language:Inglés
Published: Hoboken, N.J. : [Chichester] : Wiley ; [John Wiley, distributor], 2008.
Series:Frank J. Fabozzi series.
Subjects:
Stochastic processes.
Mathematical optimization.
Risk assessment > Mathematical models.
Portfolio management > Mathematical models.
Stochastic Processes
Processus stochastiques.
Optimisation mathématique.
Évaluation du risque > Modèles mathématiques.
Gestion de portefeuille > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Mathematical optimization
Portfolio management > Mathematical models
Risk assessment > Mathematical models
Stochastic processes
Online Access:Texto completo
Table of Contents:
  • Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; Chapter 2 Optimization; Chapter 3 Probability Metrics; Chapter 4 Ideal Probability Metrics; Chapter 5 Choice under Uncertainty; Chapter 6 Risk and Uncertainty; Chapter 7 Average Value-at-Risk; Chapter 8 Optimal Portfolios; Chapter 9 Benchmark Tracking Problems; Chapter 10 Performance Measures; Index.

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