Risk-Sensitive Investment Management

Risk-Sensitive Investment Management

for $ 52.00

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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,… (more)


Book Details  


Publisher: WSPC (July 21, 2014)

Collection: Advanced Series on Statistical Science and Applied Probability

Format: EPUB

Page count: 416 pages

Protection: DRM

Language: English


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