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Books > Business & Economics > Finance & accounting > Finance > Investment & securities
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Risk-sensitive Investment Management (Paperback)
Loot Price: R1,749
Discovery Miles 17 490
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Risk-sensitive Investment Management (Paperback)
Series: Advanced Series on Statistical Science & Applied Probability, 19
Expected to ship within 12 - 19 working days
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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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