Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
Author :
Publisher : Wiley
Total Pages : 416
Release :
ISBN-10 : 9780470253601
ISBN-13 : 0470253606
Rating : 4/5 (606 Downloads)

Book Synopsis Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization by : Svetlozar T. Rachev

Download or read book Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization written by Svetlozar T. Rachev and published by Wiley. This book was released on 2008-05-16 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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