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© 2026 Bookis AS

English

Risk-sensitive Investment Management

Hardcover • 2014 • 1. edition

Risk-sensitive Investment Management

By Mark Davis, Sebastien Lleo

0 Ratings • 0.0 of 5

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About the book

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-di...Show more

Book details

ISBN

9789814578035

Publisher

World Scientific Publishing Co Pte Ltd

Published year

2014

Language

Edition

1

Original title

Risk-sensitive Investment Management

Format

Hardcover

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Other versions

Risk-sensitive Investment Management

Risk-sensitive Investment Management

Paperback · 2014

Reviews · 0

0 Ratings • 0.0 of 5

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