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About this product
- DescriptionThis 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.
- Author BiographySvetlozar 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.
- Author(s)Frank J. Fabozzi,Stoyan V. Stoyanov,Svetlozar T. Rachev
- PublisherJohn Wiley and Sons Ltd
- Date of Publication11/04/2008
- SubjectFinance & Accounting
- Series TitleFrank J. Fabozzi Series
- Place of PublicationChichester
- Country of PublicationUnited Kingdom
- ImprintJohn Wiley & Sons Ltd
- Content Noteblack & white illustrations, black & white tables, figures
- Weight624 g
- Width162 mm
- Height234 mm
- Spine35 mm
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