Portfolio Management
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures

Authors: Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi, CFA
Editions: Wiley
Pages: 382 pages
Date: April 2008
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.

About the authors:

Svetlozar 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, was previously the Chief Financial Researcher at FinAnalytica Inc. Since 2010, he is Professor of Finance at EDHEC Business School and Programme Director of the Executive MSc in Risk and Investment Management for Asia.

Frank J. Fabozzi, PhD, CFA, was Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management at the time of writing, and is the Editor of the Journal of Portfolio Management. He is currently Professor of Finance at EDHEC Business School.

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