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.
Over de auteur
Svetlozar T. Rachev, Ph D, 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
Fin Analytica Inc.
Stoyan V. Stoyanov, Ph D, is the Chief Financial
Researcher at Fin Analytica Inc.
Frank J. Fabozzi, Ph D, 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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