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

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.

Author: Svetlozar T. Rachev, Frank J. Fabozzi, Stoyan V. Stoyanov
Publisher: Wiley
Published: 02/01/2008
Pages: 382
Binding Type: Hardcover
Weight: 1.32lbs
Size: 8.99h x 6.43w x 1.33d
ISBN: 9780470053164

About the Author

Svetlozar T. Rachev, PhD, Doctor of Science, is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering; Professor Emeritus at the University of California, Santa Barbara; and Chief-Scientist of FinAnalytica Inc.

Stoyan V. Stoyanov, PhD, is the Chief Financial Researcher at FinAnalytica Inc.

Frank J. Fabozzi, PhD, CFA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management and the Editor of the Journal of Portfolio Management.

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