Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Estimated delivery 3-12 business days
Format Hardcover
Condition Brand New
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.
Publisher 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.
Author Biography
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.
Details ISBN 047005316X ISBN-13 9780470053164 Title Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization Author Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi Format Hardcover Year 2008 Pages 400 Edition 1st Publisher John Wiley & Sons Inc GE_Item_ID:7500615; About Us
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