Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi.
An introduction to stochastic models for risk evaluation and portfolio selection enhanced by insights from the field of probability metrics and optimization theory. This book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or...
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