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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
| 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 |
| Autore | Rachev S. T (Svetlozar Todorov) |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
StoyanovStoyan V
FabozziFrank J |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Stochastic processes
Mathematical optimization Risk assessment - Mathematical models Portfolio management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-21730-1
0-470-25360-6 9786611217303 1-283-27295-4 9786613272959 1-118-08614-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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
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 |
| Record Nr. | UNINA-9910461561503321 |
Rachev S. T (Svetlozar Todorov)
|
||
| Hoboken, N.J., : Wiley | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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
| 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 |
| Autore | Rachev S. T (Svetlozar Todorov) |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
StoyanovStoyan V
FabozziFrank J |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Stochastic processes
Mathematical optimization Risk assessment - Mathematical models Portfolio management - Mathematical models |
| ISBN |
1-281-21730-1
0-470-25360-6 9786611217303 1-283-27295-4 9786613272959 1-118-08614-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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
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 |
| Record Nr. | UNINA-9910789716503321 |
|
Rachev S. T (Svetlozar Todorov)
|
||
| Hoboken, N.J., : Wiley | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
| A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi |
| Autore | Rachev S. T (Svetlozar Todorov) |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011 |
| Descrizione fisica | 1 online resource (283 p.) |
| Disciplina | 332.015192 |
| Altri autori (Persone) |
StoyanovStoyan V
FabozziFrank J |
| Soggetto topico |
Financial risk management
Probabilities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4443-9269-7
1-4443-9271-9 1-283-40798-1 9786613407986 1-4443-9270-0 |
| Classificazione | BUS033070 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance""
""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion"" ""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary"" ""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction"" ""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index"" |
| Record Nr. | UNINA-9910208827003321 |
|
Rachev S. T (Svetlozar Todorov)
|
||
| Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
| A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi |
| Autore | Rachev S. T (Svetlozar Todorov) |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011 |
| Descrizione fisica | 1 online resource (283 p.) |
| Disciplina | 332.015192 |
| Altri autori (Persone) |
StoyanovStoyan V
FabozziFrank J |
| Soggetto topico |
Financial risk management
Probabilities |
| ISBN |
1-4443-9269-7
1-4443-9271-9 1-283-40798-1 9786613407986 1-4443-9270-0 |
| Classificazione | BUS033070 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance""
""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion"" ""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary"" ""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction"" ""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index"" |
| Record Nr. | UNINA-9910830374503321 |
|
Rachev S. T (Svetlozar Todorov)
|
||
| Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A probability metrics approach to financial risk measures / / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
| A probability metrics approach to financial risk measures / / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi |
| Autore | Rachev S. T (Svetlozar Todorov) |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011 |
| Descrizione fisica | 1 online resource (283 p.) |
| Disciplina | 332.015192 |
| Altri autori (Persone) |
StoyanovStoyan V
FabozziFrank J |
| Soggetto topico |
Financial risk management
Probabilities |
| ISBN |
1-4443-9269-7
1-4443-9271-9 1-283-40798-1 9786613407986 1-4443-9270-0 |
| Classificazione | BUS033070 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance""
""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion"" ""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary"" ""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction"" ""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index"" |
| Record Nr. | UNINA-9910876937303321 |
|
Rachev S. T (Svetlozar Todorov)
|
||
| Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||