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eISBN : 9780470253601

Sommaire : 1. Concepts of Probability
1.1 Introduction
1.2 Basic Concepts
1.3 Discrete Probability Distributions
1.4 Continuous Probability Distributions
1.5 Statistical Moments and Quantiles
1.6 Joint Probability Distributions
1.7 Probabilistic Inequalities
1.8 Summary

2. Optimization
2.1 Introduction
2.2 Unconstrained Optimization
2.3 Constrained Optimization
2.4 Summary

3. Probability Metrics
3.1 Introduction
3.2 Measuring Distances: The Discrete Case
3.3 Primary, Simple, and Compound Metrics
3.4 Summary
3.5 Technical Appendix

4. Ideal Probability Metrics
4.1 Introduction
4.2 The Classical Central Limit Theorem
4.3 The Generalized Central Limit Theorem
4.4 Construction of Ideal Probability Metrics
4.5 Summary
4.6 Technical Appendix

5. Choice under Uncertainty
5.1 Introduction
5.2 Expected Utility Theory
5.3 Stochastic Dominance
5.4 Probability Metrics and Stochastic Dominance
5.5 Summary
5.6 Technical Appendix

6. Risk and Uncertainty
6.1 Introduction
6.2 Measures of Dispersion
6.3 Probability Metrics and Dispersion Measures
6.4 Measures of Risk
6.5 Risk Measures and Dispersion Measures
6.6 Risk Measures and Stochastic Orders
6.7 Summary
6.8 Technical Appendix

7. Average Value-at-Risk
7.1 Introduction
7.2 Average Value-at-Risk
7.3 AVaR Estimation from a Sample
7.4 Computing Portfolio AVaR in Practice
7.5 Backtesting of AVaR
7.6 Spectral Risk Measures
7.7 Risk Measures and Probability Metrics
7.8 Summary
7.9 Technical Appendix

8. Optimal Portfolios
8.1 Introduction
8.2 Mean-Variance Analysis
8.3 Mean-Risk Analysis
8.4 Summary
8.5 Technical Appendix

9. Benchmark Tracking Problems
9.1 Introduction
9.2 The Tracking Error Problem
9.3 Relation to Probability Metrics
9.4 Examples of r.d. Metrics
9.5 Numerical Example
9.6 Summary
9.7 Technical Appendix

10. Performance Measures
10.1 Introduction
10.2 Reward-to-Risk Ratios
10.3 Reward-to-Variability Ratios
10.4 Summary
10.5 Technical Appendix

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque