Risk-sensitive investment management:
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hackensack, NJ
World Scientific
[2015]
|
| Series: | Advanced series on statistical science & applied probability
v. 19 |
| Subjects: | |
| Online Access: | FLA01 |
| Item Description: | Print version record |
| Physical Description: | 1 online resource (xvi, 397 pages) |
| ISBN: | 9789814578059 9814578053 |
Staff View
MARC
| LEADER | 00000nmm a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV045357700 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 181212s2015 |||| o||u| ||||||eng d | ||
| 015 | |a GBB457842 |2 dnb | ||
| 020 | |a 9789814578059 |9 978-981-4578-05-9 | ||
| 020 | |a 9814578053 |9 981-4578-05-3 | ||
| 035 | |a (ZDB-4-EBU)ocn890321032 | ||
| 035 | |a (OCoLC)890321032 | ||
| 035 | |a (DE-599)BVBBV045357700 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 082 | 0 | |a 332.601/51 |2 23 | |
| 084 | |a QK 800 |0 (DE-625)141681: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 100 | 1 | |a Davis, M. H. A. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Risk-sensitive investment management |c Mark H.A. Davis, Sebastien Lleo |
| 264 | 1 | |a Hackensack, NJ |b World Scientific |c [2015] | |
| 264 | 4 | |c 2015 | |
| 300 | |a 1 online resource (xvi, 397 pages) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Advanced series on statistical science & applied probability |v v. 19 | |
| 500 | |a Print version record | ||
| 505 | 8 | |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 | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 7 | |a Investments / Mathematical models |2 fast | |
| 650 | 7 | |a Portfolio management / Mathematical models |2 fast | |
| 650 | 7 | |a Risk / Mathematical models |2 fast | |
| 650 | 4 | |a Portfolio management |x Mathematical models |a Investments |x Mathematical models |a Risk |x Mathematical models | |
| 650 | 0 | 7 | |a Risiko |0 (DE-588)4050129-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastische optimale Kontrolle |0 (DE-588)4207850-7 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Portfolio Selection |0 (DE-588)4046834-3 |D s |
| 689 | 0 | 1 | |a Stochastische optimale Kontrolle |0 (DE-588)4207850-7 |D s |
| 689 | 0 | 2 | |a Risiko |0 (DE-588)4050129-2 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Lleo, Sebastien |e Sonstige |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Davis, M.H.A. |t Risk-sensitive investment management |z 9814578037 |
| 912 | |a ZDB-4-EBU | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-030744292 | ||
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=839643 |l FLA01 |p ZDB-4-EBU |q FLA_PDA_EBU |x Aggregator |3 Volltext | |
Record in the Search Index
| _version_ | 1804179188423327744 |
|---|---|
| any_adam_object | |
| author | Davis, M. H. A. |
| author_facet | Davis, M. H. A. |
| author_role | aut |
| author_sort | Davis, M. H. A. |
| author_variant | m h a d mha mhad |
| building | Verbundindex |
| bvnumber | BV045357700 |
| classification_rvk | QK 800 SK 980 |
| collection | ZDB-4-EBU |
| contents | 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 |
| ctrlnum | (ZDB-4-EBU)ocn890321032 (OCoLC)890321032 (DE-599)BVBBV045357700 |
| dewey-full | 332.601/51 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.601/51 |
| dewey-search | 332.601/51 |
| dewey-sort | 3332.601 251 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03817nmm a2200553zcb4500</leader><controlfield tag="001">BV045357700</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">181212s2015 |||| o||u| ||||||eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">GBB457842</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9789814578059</subfield><subfield code="9">978-981-4578-05-9</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9814578053</subfield><subfield code="9">981-4578-05-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-4-EBU)ocn890321032</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)890321032</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV045357700</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.601/51</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 800</subfield><subfield code="0">(DE-625)141681:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Davis, M. H. A.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Risk-sensitive investment management</subfield><subfield code="c">Mark H.A. Davis, Sebastien Lleo</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hackensack, NJ</subfield><subfield code="b">World Scientific</subfield><subfield code="c">[2015]</subfield></datafield><datafield tag="264" ind1=" " ind2="4"><subfield code="c">2015</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 online resource (xvi, 397 pages)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Advanced series on statistical science & applied probability</subfield><subfield code="v">v. 19</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Print version record</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="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</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Finance</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Investments / Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Portfolio management / Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risk / Mathematical models</subfield><subfield code="2">fast</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Portfolio management</subfield><subfield code="x">Mathematical models</subfield><subfield code="a">Investments</subfield><subfield code="x">Mathematical models</subfield><subfield code="a">Risk</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risiko</subfield><subfield code="0">(DE-588)4050129-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Stochastische optimale Kontrolle</subfield><subfield code="0">(DE-588)4207850-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Stochastische optimale Kontrolle</subfield><subfield code="0">(DE-588)4207850-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Risiko</subfield><subfield code="0">(DE-588)4050129-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Lleo, Sebastien</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="a">Davis, M.H.A.</subfield><subfield code="t">Risk-sensitive investment management</subfield><subfield code="z">9814578037</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBU</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-030744292</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=839643</subfield><subfield code="l">FLA01</subfield><subfield code="p">ZDB-4-EBU</subfield><subfield code="q">FLA_PDA_EBU</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV045357700 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:15:54Z |
| institution | BVB |
| isbn | 9789814578059 9814578053 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030744292 |
| oclc_num | 890321032 |
| open_access_boolean | |
| physical | 1 online resource (xvi, 397 pages) |
| psigel | ZDB-4-EBU ZDB-4-EBU FLA_PDA_EBU |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | World Scientific |
| record_format | marc |
| series2 | Advanced series on statistical science & applied probability |
| spelling | Davis, M. H. A. Verfasser aut Risk-sensitive investment management Mark H.A. Davis, Sebastien Lleo Hackensack, NJ World Scientific [2015] 2015 1 online resource (xvi, 397 pages) txt rdacontent c rdamedia cr rdacarrier Advanced series on statistical science & applied probability v. 19 Print version record 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 BUSINESS & ECONOMICS / Finance bisacsh Investments / Mathematical models fast Portfolio management / Mathematical models fast Risk / Mathematical models fast Portfolio management Mathematical models Investments Mathematical models Risk Mathematical models Risiko (DE-588)4050129-2 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Stochastische optimale Kontrolle (DE-588)4207850-7 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 Davis, M.H.A. Risk-sensitive investment management 9814578037 |
| spellingShingle | Davis, M. H. A. 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 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 BUSINESS & ECONOMICS / Finance bisacsh Investments / Mathematical models fast Portfolio management / Mathematical models fast Risk / Mathematical models fast Portfolio management Mathematical models Investments Mathematical models Risk Mathematical models Risiko (DE-588)4050129-2 gnd Portfolio Selection (DE-588)4046834-3 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd |
| subject_GND | (DE-588)4050129-2 (DE-588)4046834-3 (DE-588)4207850-7 |
| 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 | BUSINESS & ECONOMICS / Finance bisacsh Investments / Mathematical models fast Portfolio management / Mathematical models fast Risk / Mathematical models fast Portfolio management Mathematical models Investments Mathematical models Risk Mathematical models Risiko (DE-588)4050129-2 gnd Portfolio Selection (DE-588)4046834-3 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Investments / Mathematical models Portfolio management / Mathematical models Risk / Mathematical models Portfolio management Mathematical models Investments Mathematical models Risk Mathematical models Risiko Portfolio Selection Stochastische optimale Kontrolle |
| work_keys_str_mv | AT davismha risksensitiveinvestmentmanagement AT lleosebastien risksensitiveinvestmentmanagement |