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Risk-Sensitive Investment Management

Original price was: ₹10995.000.Current price is: ₹8246.000.

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AuthorDavis Mark H A Et Al
ISBN9789814578035
Published LanguageEnglish
Publication Year2014
PublisherWorld Scientific
BindingHardback
Original Price$128
Pages416
Ships By2-3 days

Description

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.

About the author
Imperial College London, UK

Additional information

Weight0.733 kg
Dimensions22.9 × 15.2 cm
Author

ISBN

Publisher

Pages

416

Ships By

2-3 days