Advanced Stochastic Models, Risk Assessment, and PortfolioOptimization
The finance industry is seeing increased interest in new riskmeasures and techniques for portfolio optimization when parametersof the model are uncertain.
This groundbreaking book extends traditional approaches of riskmeasurement and portfolio optimization by combining distributionalmodels with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentalsof probability metrics, outline new approaches to portfoliooptimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications tooptimal portfolio choice and risk theory, as well as applicationsto the area of computational finance that may be useful tofinancial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement.
Advanced Stochastic Models, Risk Assessment, and PortfolioOptimization provides quantitative portfolio managers(including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of whichrisk measure is best for any given problem.
The finance industry is seeing increased interest in new riskmeasures and techniques for portfolio optimization when parametersof the model are uncertain.
This groundbreaking book extends traditional approaches of riskmeasurement and portfolio optimization by combining distributionalmodels with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentalsof probability metrics, outline new approaches to portfoliooptimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications tooptimal portfolio choice and risk theory, as well as applicationsto the area of computational finance that may be useful tofinancial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement.
Advanced Stochastic Models, Risk Assessment, and PortfolioOptimization provides quantitative portfolio managers(including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of whichrisk measure is best for any given problem.