Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures

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

Book Overview

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...

• Format: Hardcover
• Language: English
• ISBN: 047005316X
• ISBN13: 9780470053164
• Release Date: February 2008
• Publisher: Wiley
• Length: 400 Pages
• Weight: 1.32 lbs.
• Dimensions: 1.3" x 6.4" x 9.0"