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Svetlozar T. Rachev

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization

The Ideal Risk, Uncertainty, and Performance Measures

Buch

Advanced Stochastic Models, Risk Assessment, and Portfolio OptimizationThe finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain.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 illustrat… Mehr

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Produktdetails


Weitere Autoren: Stoyanov, Stoyan V. / Fabozzi, Frank J.
  • ISBN: 978-0-470-05316-4
  • EAN: 9780470053164
  • Produktnummer: 3259979
  • Verlag: John Wiley & Sons
  • Sprache: Englisch
  • Erscheinungsjahr: 2008
  • Seitenangabe: 402 S.
  • Masse: H23.5 cm x B15.7 cm x D2.6 cm 733 g
  • Abbildungen: HC gerader Rücken kaschiert
  • Gewicht: 733

Über den Autor


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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