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1. |
Record Nr. |
UNINA9910461561503321 |
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Autore |
Rachev S. T (Svetlozar Todorov) |
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Titolo |
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi |
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Pubbl/distr/stampa |
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Hoboken, N.J., : Wiley |
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[Chichester, : John Wiley, distributor], 2008 |
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ISBN |
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1-281-21730-1 |
0-470-25360-6 |
9786611217303 |
1-283-27295-4 |
9786613272959 |
1-118-08614-7 |
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Descrizione fisica |
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1 online resource (39 p.) |
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Collana |
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The Frank J. Fabozzi series |
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Altri autori (Persone) |
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StoyanovStoyan V |
FabozziFrank J |
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Disciplina |
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Soggetti |
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Stochastic processes |
Mathematical optimization |
Risk assessment - Mathematical models |
Portfolio management - Mathematical models |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; |
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BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION |
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY |
Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY |
Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index |
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Sommario/riassunto |
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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. |
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2. |
Record Nr. |
UNISA996466447403316 |
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Titolo |
Informatics in Schools. New Ideas in School Informatics [[electronic resource] ] : 12th International Conference on Informatics in Schools: Situation, Evolution, and Perspectives, ISSEP 2019, Larnaca, Cyprus, November 18–20, 2019, Proceedings / / edited by Sergei N. Pozdniakov, Valentina Dagienė |
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Pubbl/distr/stampa |
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Cham : , : Springer International Publishing : , : Imprint : Springer, , 2019 |
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ISBN |
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Edizione |
[1st ed. 2019.] |
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Descrizione fisica |
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1 online resource (xi, 304 pages) : illustrations |
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Collana |
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Theoretical Computer Science and General Issues, , 2512-2029 ; ; 11913 |
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Disciplina |
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Soggetti |
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Educational technology |
Education—Data processing |
Computers |
Application software |
Artificial intelligence |
Digital Education and Educational Technology |
Computers and Education |
Computing Milieux |
Computer and Information Systems Applications |
Artificial Intelligence |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di contenuto |
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Teacher Education in Informatics -- Primary Education in Informatics -- Contemporary Computer Science Ideas in School Informatics -- Teaching Informatics: from High School to University Level -- Contests, Competitions and Games in Informatics. |
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Sommario/riassunto |
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This book constitutes the proceedings of the 12th International Conference on Informatics in Schools: Situation, Evolution and Perspectives, ISSEP 2019, held in Larnaca, Cyprus, in November 2019. The 23 revised full papers presented were carefully reviewed and selected from 55 submissions. They are organized in topical sections |
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named : teacher education in informatics, primary education in informatics, contemporary computer science ideas in school informatics, teaching informatics: from highschool to university levels, contests, competitions and games in informatics. |
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