05064nam 2200649 450 991048001000332120170821165248.00-8218-7635-X(CKB)3240000000069575(EBL)3113012(SSID)ssj0000850380(PQKBManifestationID)11459074(PQKBTitleCode)TC0000850380(PQKBWorkID)10832375(PQKB)10722474(MiAaPQ)EBC3113012(PPN)197103677(EXLCZ)99324000000006957519851209h19861986 uy| 0engur|n|---|||||txtccrRandom matrices and their applications proceedings of the AMS-IMS-SIAM Joint Summer Research Conference held June 17-23, 1984, with support from the National Science Foundation /Joel E. Cohen, Harry Kesten, and Charles M. Newman, editorsProvidence, Rhode Island :American Mathematical Society,[1986]©19861 online resource (375 p.)Contemporary mathematics,0271-4232 ;volume 50"The AMS-IMS-SIAM Joint Summer Research Conference in the Mathematical Sciences on Random Matrices and Their Applications was held at Bowdoin College, Brunswick, Maine"--Title page verso.0-8218-5044-X Bibliography: pages 337-358.""Contents""; ""Preface""; ""I. Basic theory of products of random matrices""; ""A. Overviews:""; ""Limit theorems for products of random matrices: a comparison of two points of view""; ""Oseledec's multiplicative ergodic theorem: a proof""; ""Products of random matrices: convergence theorems""; ""Examples of application of Oseledec's theorem""; ""B. Perturbation theory:""; ""Multiplicative ergodic theorems for random diffeomorphisms""; ""Furstenberg-Kesten results: asymptotic analysis""""Stability of exponential growth rate for randomly perturbed random matrix products via Markov-chain arguments""""Representation, positivity and expansion of Lyapunov exponents for linear stochastic systems""; ""C. Theory of matrix products:""; ""On uniform contraction generated by positive matrices""; ""D. Connections with spectral theory:""; ""Lyapunov exponents for some products of random matrices: exact expressions and asymptotic distributions""; ""II. Spectral theory of random matrices""""A brief survey on the spectral radius and the spectral distribution of large random matrices with i.i.d. entries""""Eigenvalues and eigenvectors of large dimensional sample covariance matrices""; ""Spectra for large dimensional random matrices""; ""III. Applications to computer science, probability and statistics of products of random matrices""; ""A. Applications to computer science and statistics:""; ""Products of random matrices and computer image generation""; ""Products of random matrices as they arise in the study of random walks on groups""""B. Applications to Markov chains in random environments:""""On products of random stochastic matrices""; ""Convolution sequences of measures on the semigroup of stochastic matrices""; ""Random walks on semigroups""; ""C. Other applications to probability theory:""; ""A note on random systems with complete connections and their applications to products of random matrices""; ""Using random matrices to give recurrence and transience criteria for random walk in a random environment""; ""A contraction principle for certain Markov chains and its applications""""IV. Scientific applications of random matrices and their products""""Lyapounov exponents and spectra for one-dimensional random Schroedinger operators""; ""The density of states of random Schroedinger operators""; ""Random matrices in nuclear physics and number theory""; ""Random matrices and waves in random media""; ""Demographic applications of random matrix products""; ""V. Supplements""; ""Open problems""; ""List of participants in Joint Summer Research Conference at Bowdoin College, 17-23 June 1984""""Products of random matrices and related topics in mathematics and science: a bibliography""Contemporary mathematics (American Mathematical Society) ;v. 50.Random matricesCongressesElectronic books.Random matrices519.2/6Cohen Joel E.Kesten Harry1931-Newman Charles M(Charles Michael),1946-American Mathematical Society,Institute of Mathematical Statistics,Society for Industrial and Applied Mathematics,AMS-IMS-SIAM Joint Summer Research Conference in the Mathematical Sciences on Random Matrices and Their ApplicationsMiAaPQMiAaPQMiAaPQBOOK9910480010003321Random matrices and their applications439797UNINA04445nam 2200649 a 450 991014444970332120170815111215.01-119-20609-X1-281-84042-497866118404260-470-51838-3(CKB)1000000000556976(EBL)366753(OCoLC)297117140(SSID)ssj0000241645(PQKBManifestationID)12076644(PQKBTitleCode)TC0000241645(PQKBWorkID)10298856(PQKB)11236584(MiAaPQ)EBC366753(EXLCZ)99100000000055697620070702d2007 uy 0engur|n|---|||||txtccrScenarios for risk management and global investment strategies[electronic resource] /Rachel E.S. Ziemba and William T. ZiembaChichester, England ;Hoboken, NJ John Wiley & Sonsc20071 online resource (337 p.)Wiley finance seriesDescription based upon print version of record.0-470-31924-0 Includes bibliographical references (p. [299]-310) and index.Acknowledgements -- Preface -- About the authors -- Investment strategies: using the Kelly capital growth criterion -- Take a chance -- The capital growth theory of investment -- Betting on unpopular lotto numbers using the Kelly criterion -- Good and bad properties of the Kelly criterion -- Calculating the optimal Kelly fraction -- The great investors, their methods and how we evaluate them: theory -- The great investors, a way to evaluate them -- The methods and results of managing top US university endowments -- Investment strategies: hedge funds -- Hedge fund concepts and a typical convergence trade: Nikkei put warrant risk arbitrage -- The recipe for disaster: how to lose money in derivatives -- Hedge fund risk, disasters and their prevention: the failure of long term capital management -- The imported crash of October 27 and 28, 1997 -- The 2006 Amaranth Advisors natural gas hedge fund disaster -- Towards scenarios: country studies -- Letter from Cairo -- Threats, challenges and opportunities of China -- Chinese investment markets: hedge fund scenario analysis -- Springtime in Buenos Aires: prospects for investment, how deep is the recovery? -- Cyprus: on the outer edge of Europe, in the middle of the Mediterranean -- Is Iceland's growth spurt threatened by financial vulnerabilities? -- Would a bridge connect Sicily's economy to Europe's heart? -- Scenario analysis: the stochastic programming approach to managing risk -- Hedge and pension fund risk, disasters and their prevention -- Setting the scenario -- Hedge fund scenario analysis -- Some approaches for scenario generation and reduction -- Useful economic fundamentals to generate scenarios -- Some mathematical approaches for scenario generation and reduction -- Minimizing the effects of disasters by planning ahead -- Appendix: The great investors: some useful books -- Bibliography -- Index.This book discusses scenarios for risk management and developing global investment strategies. What are the chances that various future events will occur over time and how should these events and probable occurrence influence investment decisions? Assessing all possible outcomes is fundamental to risk management, financial engineering and investment and hedge fund strategies. A careful consideration of future scenarios will lead to better investment decisions and avoid financial disasters. The book presents tools and case studies around the world for analyzing a wide variety of investment straWiley finance series.Investments, ForeignRisk managementInternational financeInvestment analysisElectronic books.Investments, Foreign.Risk management.International finance.Investment analysis.332.67332.673Ziemba Rachel944669Ziemba W. T122735MiAaPQMiAaPQMiAaPQBOOK9910144449703321Scenarios for risk management and global investment strategies2132519UNINA