Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures - Frank J. Fabozzi Series (Hardback)

by Svetlozar T. Rachev, Frank J. Fabozzi, Stoyan V. Stoyanov

Format: Hardback 382 pages

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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.

Book details

Published
11/04/2008

Publisher
John Wiley & Sons Ltd

ISBN
9780470053164


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