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Risk-sensitive Investment Management by Mark H A Davis, Sebastien Lleo (Paperback, 2014)

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Product Information

Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes.With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management.This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful.

Product Identifiers

Publisher
World Scientific Publishing Co Pte Ltd
ISBN-13
9789814578042
eBay Product ID (ePID)
208874576

Product Key Features

Author
Mark H a Davis, Sebastien Lleo
Publication Name
Risk-Sensitive Investment Management
Format
Paperback
Language
English
Subject
Finance
Publication Year
2014
Type
Textbook
Number of Pages
416 Pages

Dimensions

Volume
19

Additional Product Features

Title_Author
Mark H a Davis, Sebastien Lleo
Series Title
Advanced Series on Statistical Science & Applied Probability
Country/Region of Manufacture
Singapore

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Risk-sensitive Investment Management by Mark H A Davis, Sebastien Lleo (Paperback, 2014)

About this product

Product Information

Product Identifiers

Product Key Features

Dimensions

Additional Product Features

Best Selling in Adult Learning & University

Permaculture: A Designer's Manual by Bill Mollison (Hardcover, 1988)

Australian Native Bee Book: Keeping Stingless Bee Hives for Pets, Pollination and Sugarbag Honey by Tim Heard (Paperback, 2015)

The Weed Forager's Handbook: A Guide to Edible and Medicinal Weeds in Australia by Adam Grubb, Annie Raser-Rowland (2012, Paperback)

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