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Risk-Sensitive Investment Management (Advanced Statistical Science and Applied Probability) - Softcover
Synopsis
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...
About the Author
Mark Davis is Distinguished Research Fellow in the Department of Mathematics at Imperial College London. He is also Quantitative Research Adviser to Hanover Square Capital (UK) Ltd, in connection with India-related investment funds. From 2000–2009, he was Professor and Head of the Mathematical Finance group at Imperial College. His research concentrates on stochastic analysis, control theory and financial mathematics; current topics include modelling stochastic volatility, model-free arbitrage...
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- PublisherWspc
- Publication date2014
- ISBN 10 9814578045
- ISBN 13 9789814578042
- BindingPaperback
- LanguageEnglish
- Edition number1
- Number of pages414
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Risk-Sensitive Investment Management
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ISBN 10: 9814578045
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Paperback. Condition: new. Paperback. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9789814578042
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