Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures
Mathematical optimization Portfolio management Risk assessment Stochastic processes BUSINESS & ECONOMICS sähkökirjat
John Wiley, distributor]
2008
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.
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 performance measures into a single framework.
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 performance measures into a single framework.
