Advanced Stochastic Models Risk Assessment And Portfolio Optimization
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Advanced Stochastic Models Risk Assessment And Portfolio Optimization
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Author : Svetlozar T. Rachev
language : en
Publisher: Wiley
Release Date : 2008-02-25
Advanced Stochastic Models Risk Assessment And Portfolio Optimization written by Svetlozar T. Rachev and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-25 with Business & Economics categories.
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.
Advanced Reit Portfolio Optimization
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Author : W. Brent Lindquist
language : en
Publisher: Springer Nature
Release Date : 2022-11-09
Advanced Reit Portfolio Optimization written by W. Brent Lindquist and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-09 with Business & Economics categories.
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.
Risk And Uncertainty
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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2011-04-22
Risk And Uncertainty written by Svetlozar T. Rachev and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-22 with Business & Economics categories.
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. 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. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement. Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.
Stochastic Modeling And Optimization Methods For Critical Infrastructure Protection Volume 2
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Author : Alexei A. Gaivoronski
language : en
Publisher: John Wiley & Sons
Release Date : 2025-05-13
Stochastic Modeling And Optimization Methods For Critical Infrastructure Protection Volume 2 written by Alexei A. Gaivoronski and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-05-13 with Business & Economics categories.
Stochastic Modeling and Optimization Methods for Critical Infrastructure Protection is a thorough exploration of mathematical models and tools that are designed to strengthen critical infrastructures against threats – both natural and adversarial. Divided into two volumes, this first volume examines stochastic modeling across key economic sectors and their interconnections, while the second volume focuses on advanced mathematical methods for enhancing infrastructure protection. The book covers a range of themes, including risk assessment techniques that account for systemic interdependencies within modern technospheres, the dynamics of uncertainty, instability and system vulnerabilities. The book also presents other topics such as cryptographic information protection and Shannon’s theory of secret systems, alongside solutions arising from optimization, game theory and machine learning approaches. Featuring research from international collaborations, this book covers both theory and applications, offering vital insights for advanced risk management curricula. It is intended not only for researchers, but also educators and professionals in infrastructure protection and stochastic optimization.
Community Based Operations Research
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Author : Michael P. Johnson
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-09-18
Community Based Operations Research written by Michael P. Johnson and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-18 with Business & Economics categories.
This edited volume is an introduction to diverse methods and applications in operations research focused on local populations and community-based organizations that have the potential to improve the lives of individuals and communities in tangible ways. The book's themes include: space, place and community; disadvantaged, underrepresented or underserved populations; international and transnational applications; multimethod, cross-disciplinary and comparative approaches and appropriate technology; and analytics. The book is comprised of eleven original submissions, a re-print of a 2007 article by Johnson and Smilowitz that introduces CBOR, and an introductory chapter that provides policy motivation, antecedents to CBOR in OR/MS, a theory of CBOR and a comprehensive review of the chapters. It is hoped that this book will provide a resource to academics and practitioners who seek to develop methods and applications that bridge the divide between traditional OR/MS rooted in mathematical models and newer streams in 'soft OR' that emphasize problem structuring methods, critical approaches to OR/MS and community engagement and capacity-building.
The Basics Of Financial Econometrics
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2014-03-04
The Basics Of Financial Econometrics written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-04 with Business & Economics categories.
An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.
Institutional Investment Management
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2009-08-25
Institutional Investment Management written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-25 with Business & Economics categories.
The most comprehensive coverage of institutional investment management issues This comprehensive handbook of investment management theories, concepts, and applications opens with an overview of the financial markets and investments, as well as a look at institutional investors and their objectives. From here, respected investment expert Frank Fabozzi moves on to cover a wide array of issues in this evolving field. From valuation and fixed income analysis to alternative investments and asset allocation, Fabozzi provides the best in cutting-edge information for new and seasoned practitioners, as well as professors and students of finance. Contains practical, real-world applications of investment management theories and concepts Uses unique illustrations of factor models to highlight how to build a portfolio Includes insights on execution and measurement of transaction costs Covers fixed income (particularly structured products) and derivatives Institutional Investment Management is an essential read for anyone who needs to hone their skills in this discipline.
Financial Advice And Investment Decisions
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Author : Jarrod W. Wilcox
language : en
Publisher: John Wiley & Sons
Release Date : 2013-11-20
Financial Advice And Investment Decisions written by Jarrod W. Wilcox and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-20 with Business & Economics categories.
A practical guide to adapting financial advice and investing to a post crisis world There's no room for "business as usual" in today's investment management environment. Following the recent financial crisis, both retail and institutional investors are searching for new ways to oversee investment portfolios. How do you combine growth with a focus on wealth preservation? This book offers you a fresh perspective on the changes in tools and strategies needed to effectively achieve this goal. Financial Advice and Investment Decisions provides today's investment professionals with the conceptual framework and practical tools they need to successfully invest in and manage an investment portfolio with wealth preservation as a key concern. While there are many qualitative discussions, the authors present strong quantitative theory and practice in the form of small conceptual models, simulation, and empirical research. A comprehensive guide to properly managing investments with a focus on matching security and growth goals with the needs of the investor Blends insights gleaned from portfolio management practices used prior to the market mayhem of 2007-2009 with cutting-edge academic and professional investment research Includes innovative and wide-ranging treatment of subjects such as augmented balance sheets, the efficiency of markets, saving, spending, and investing habits, and dealing with uncertainty Description of opportunities for improving the investing environment The recent financial crisis has opened our eyes to the need for improving the way we invest. This book will put you in a better position to excel in this new economic environment.
Achieving Investment Excellence
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Author : Kees Koedijk
language : en
Publisher: John Wiley & Sons
Release Date : 2019-01-29
Achieving Investment Excellence written by Kees Koedijk and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-29 with Business & Economics categories.
Crucial methods, tactics and tools for successful pension fund management Achieving Investment Excellence offers trustees and asset managers a comprehensive handbook for improving the quality of their investments. With a stated goal of substantially and sustainably improving annual returns, this book clarifies and demystifies important concepts surrounding trustee duties and responsibilities, investment strategies, analysis, evaluation and much more. Low interest rates are making the high cost of future pension payouts fraught with tension, even as the time and knowledge required to manage these funds appropriately increases — it is no wonder that pensions are increasingly seen as a financial liability. Now more than ever, it is critical that trustees understand exactly what contributes to investment success — and what detracts from it. This book details the roles, the tools and the strategies that make pension funds pay off. Understand the role of pension funds and the fiduciary duty of trustees Learn the tools and kills you need to build profound and lasting investment excellence Analyse, diagnose and improve investment quality of funds using concrete tools and instruments Study illustrative examples that demonstrate critical implementation and execution advice Packed with expert insight, crucial tools and real-life examples, this book is an important resource for those tasked with governing these. Achieving Investment Excellence provides the expert insight, clear guidance and key wisdom you need to manage these funds successfully.
Computational Science Iccs 2009
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Author : Gabrielle Allen
language : en
Publisher: Springer
Release Date : 2009-05-21
Computational Science Iccs 2009 written by Gabrielle Allen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-21 with Computers categories.
“There is something fascinating about science. One gets such wholesale returns of conjecture out of such a tri?ing investment of fact. ” Mark Twain, Life on the Mississippi The challenges in succeeding with computational science are numerous and deeply a?ect all disciplines. NSF’s 2006 Blue Ribbon Panel of Simulation-Based 1 Engineering Science (SBES) states ‘researchers and educators [agree]: com- tational and simulation engineering sciences are fundamental to the security and welfare of the United States. . . We must overcome di?culties inherent in multiscale modeling, the development of next-generation algorithms, and the design. . . of dynamic data-driven application systems. . . We must determine better ways to integrate data-intensive computing, visualization, and simulation. - portantly,wemustoverhauloureducationalsystemtofostertheinterdisciplinary study. . . The payo?sformeeting these challengesareprofound. ’The International Conference on Computational Science 2009 (ICCS 2009) explored how com- tational sciences are not only advancing the traditional hard science disciplines, but also stretching beyond, with applications in the arts, humanities, media and all aspects of research. This interdisciplinary conference drew academic and industry leaders from a variety of ?elds, including physics, astronomy, mat- matics,music,digitalmedia,biologyandengineering. Theconferencealsohosted computer and computational scientists who are designing and building the - ber infrastructure necessary for next-generation computing. Discussions focused on innovative ways to collaborate and how computational science is changing the future of research. ICCS 2009: ‘Compute. Discover. Innovate. ’ was hosted by the Center for Computation and Technology at Louisiana State University in Baton Rouge.