Author : Svetlozar T. Rachev
Release : 2011-04-22
Genre : Business & Economics
Kind : eBook
Book Rating : 18X/5 ( reviews)

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Book Synopsis Risk and Uncertainty by : Svetlozar T. Rachev

Download or read book Risk and Uncertainty written by Svetlozar T. Rachev. This book was released on 2011-04-22. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The 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 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. 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 Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.