Risk-sensitive investment management:
Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment bench...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Singapore
World Scientific Pub. Co.
c2015
|
| Series: | Advanced Series on Statistical Science & Applied Probability
vol. 19 |
| Subjects: | |
| Online Access: | FHN01 Volltext |
| Summary: | Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes. With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management. This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful |
| Physical Description: | xvi, 397 p. ill |
| ISBN: | 9789814578059 |
Staff View
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| 520 | |a Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes. With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management. This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful | ||
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| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV044640296 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:57:57Z |
| institution | BVB |
| isbn | 9789814578059 |
| language | English |
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| physical | xvi, 397 p. ill |
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| spelling | Davis, M. H. A. Verfasser aut Risk-sensitive investment management Mark H.A. Davis, Sebastien Lleo Singapore World Scientific Pub. Co. c2015 xvi, 397 p. ill txt rdacontent c rdamedia cr rdacarrier Advanced Series on Statistical Science & Applied Probability vol. 19 Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes. With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management. This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful Investments Financial risk management Risiko (DE-588)4050129-2 gnd rswk-swf Stochastische optimale Kontrolle (DE-588)4207850-7 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s Stochastische optimale Kontrolle (DE-588)4207850-7 s Risiko (DE-588)4050129-2 s DE-604 Lleo, Sebastien Sonstige oth Erscheint auch als Druck-Ausgabe 9789814578035 Erscheint auch als Druck-Ausgabe 9789814578042 http://www.worldscientific.com/worldscibooks/10.1142/9026#t=toc Verlag URL des Erstveroeffentlichers Volltext |
| spellingShingle | Davis, M. H. A. Risk-sensitive investment management Investments Financial risk management Risiko (DE-588)4050129-2 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4050129-2 (DE-588)4207850-7 (DE-588)4046834-3 |
| title | Risk-sensitive investment management |
| title_auth | Risk-sensitive investment management |
| title_exact_search | Risk-sensitive investment management |
| title_full | Risk-sensitive investment management Mark H.A. Davis, Sebastien Lleo |
| title_fullStr | Risk-sensitive investment management Mark H.A. Davis, Sebastien Lleo |
| title_full_unstemmed | Risk-sensitive investment management Mark H.A. Davis, Sebastien Lleo |
| title_short | Risk-sensitive investment management |
| title_sort | risk sensitive investment management |
| topic | Investments Financial risk management Risiko (DE-588)4050129-2 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Investments Financial risk management Risiko Stochastische optimale Kontrolle Portfolio Selection |
| url | http://www.worldscientific.com/worldscibooks/10.1142/9026#t=toc |
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