Risk-Sensitive Investment Management

by Mark H.A. Davis, Sebastien Lleo, Sbastien Lleo, et al.

Book Overview

Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most...

• Format: Paperback
• Language: English
• ISBN: 9814578045
• ISBN13: 9789814578042
• Release Date: July 2014
• Publisher: World Scientific Publishing Company
• Length: 416 Pages
• Weight: 1.35 lbs.
• Dimensions: 0.9" x 5.9" x 8.9"