Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi.
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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| Online Access: |
Full Text (via ProQuest) |
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| Main Author: | |
| Other Authors: | , |
| Format: | eBook |
| Language: | English |
| Published: |
Hoboken, N.J. : [Chichester] :
Wiley ; [John Wiley, distributor],
2008.
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| Series: | Frank J. Fabozzi series.
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| Subjects: |
| Summary: | 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. |
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| Physical Description: | 1 online resource (xviii, 382 pages) |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 1281217301 9781281217301 9781118086148 1118086147 9780470253601 0470253606 6611217304 1283272954 9781283272957 9786613272959 6613272957 9786611217303 |