MARC details
| 000 -LEADER |
|---|
| fixed length control field |
02450 a2200217 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
150201b2015 xxu||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9789814578042 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.60151 |
| Item number |
D2R4 |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Davis, Mark H. A. |
| 9 (RLIN) |
313179 |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Risk-sensitive investment management |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Date of publication, distribution, etc |
2015 |
| Name of publisher, distributor, etc |
World Scientific |
| Place of publication, distribution, etc |
New Jersey |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xvi, 397 p. |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Advanced Series on Statistical Science and Applied Probability: Vol.19 |
| 9 (RLIN) |
313180 |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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.<br/>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.<br/>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.<br/>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.<br/>(http://www.worldscientific.com/worldscibooks/10.1142/9026) |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Investments - Mathematics |
| 9 (RLIN) |
313181 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Risk - Mathematical models |
| 9 (RLIN) |
313182 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Investments - Mathematical models |
| 9 (RLIN) |
313183 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Portfolio management - Mathematical models |
| 9 (RLIN) |
313184 |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Lleo, Sebastien |
| 9 (RLIN) |
313185 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Item type |
Books |
