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Record Nr. |
UNINA9910789716503321 |
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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 |
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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; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION |
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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. |
UNINA9910154966903321 |
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Autore |
Ivakhiv Adrian J |
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Titolo |
Ecologies of the Moving Image [[electronic resource] ] : Cinema, Affect, Nature / / Adrian J. Ivakhiv |
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Pubbl/distr/stampa |
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Waterloo, Ontario, Canada : , : Wilfrid Laurier University Press, , [2013] |
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©2013 |
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Beaconsfield, Quebec : , : Canadian Electronic Library, , 2013 |
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ISBN |
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Descrizione fisica |
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1 online resource (418 p.) |
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Collana |
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Environmental humanities series |
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Disciplina |
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Soggetti |
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Motion pictures - Philosophy |
Motion pictures - Psychological aspects |
Motion pictures - Social aspects |
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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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Introduction: Journey into the zone of cinema -- Ecology, morphology, semiosis: A process-relational account of the cinema -- Territory: The geomorphology of the visible -- Encounter: First contact, utopia, and the becoming of another -- Anima Moralia: Journeys across frontiers -- Terra and trauma: The geopolitics of the real -- Afterword: Digital futures in a biosemiotic world. |
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Sommario/riassunto |
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"Moving images take us on mental and emotional journeys, over the course of which we and our worlds undergo change. This is the premise of Ecologies of the Moving Image, which accounts for the ways cinematic moving images move viewers in ways that reshape our understanding of ourselves, of life, and of the Earth and universe. This book presents an ecophilosophy of the cinema: an account of the moving image in relation to its lived ecologies--the material, social, and perceptual relations within which movies are produced, consumed, and incorporated into cultural life. Cinema, Adrian Ivakhiv argues, lures us into its worlds, but those worlds are grounded in a material and communicative Earth that supports them, even if that supporting materiality withdraws from visibility. Ivakhiv examines the geographies, |
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visualities, and anthropologies--relations of here and there, seer and seen, us and them, human and inhuman--found across a range of styles and genres, from ethnographic and wildlife documentaries to westerns and road movies, and from sci-fi blockbusters and eco-disaster films to the experimental and art films of Tarkovsky, Herzog, Greenaway, Malick, Dash, and Brakhage as well as YouTube's expanding audiovisual universe. Through its process-relational account of cinema, drawn from philosophers such as Whitehead, Peirce, and Deleuze, the book boldly enriches our understanding of film and visual media."--Publisher's website. |
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