{"product_id":"9789814578066","title":"Risk-Sensitive Investment Management","description":"\u003cp\u003eOver 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.\u003c\/p\u003e\u003cp\u003eThis 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.\u003c\/p\u003e\u003cp\u003eWith 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.\u003c\/p\u003e\u003cp\u003eThis 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.\u003c\/p\u003e\u003cb\u003eContents:\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eDiffusion Models:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eThe Merton Problem\u003c\/li\u003e\n\u003cli\u003eRisk-Sensitive Asset Management\u003c\/li\u003e\n\u003cli\u003eManaging Against a Benchmark\u003c\/li\u003e\n\u003cli\u003eAsset and Liability Management\u003c\/li\u003e\n\u003cli\u003eInvestment Constraints\u003c\/li\u003e\n\u003cli\u003eInfinite Horizon Problems\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eJump-Diffusion Models:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eJumps in Asset Prices\u003c\/li\u003e\n\u003cli\u003eGeneral Jump-Diffusion Setting\u003c\/li\u003e\n\u003cli\u003eFund Separation and Fractional Kelly Strategies\u003c\/li\u003e\n\u003cli\u003eManaging Against a Benchmark: Jump-Diffusion Case\u003c\/li\u003e\n\u003cli\u003eAsset and Liability Management: Jump-Diffusion Case\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003cli\u003e\n\u003cb\u003e\u003ci\u003eImplementation:\u003c\/i\u003e\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eFactor and Securities Models\u003c\/li\u003e\n\u003cli\u003eCase Studies\u003c\/li\u003e\n\u003cli\u003eNumerical Methods\u003c\/li\u003e\n\u003cli\u003eFactor Estimation: Filtering and Black-Litterman\u003c\/li\u003e\n\u003c\/ul\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e\u003cbr\u003e\u003cb\u003eReadership:\u003c\/b\u003e Professionals, researchers, academics and graduate students in the field of investment management, stochastic optimization, stochastic analysis and probability, and quantitative finance.\u003cbr\u003e\u003cb\u003eKey Features:\u003c\/b\u003e\u003cul\u003e\n\u003cli\u003eIntegrates advanced theoretical concepts into practical dynamic investment\u003c\/li\u003e\n\u003cli\u003eDiscusses practical issues that will be relevant to practitioners, including parameter estimation, investment benchmarks, asset and liabilities management (ALM), investment constraints, and the Kelly criterion\u003c\/li\u003e\n\u003cli\u003ePresents a thorough treatment of jump diffusion models, including latest developments regarding classical solutions to jump diffusion control problems\u003c\/li\u003e\n\u003cli\u003eWritten by professors with extensive experience on risk sensitive asset management and the relevant financial industry experience\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"World Scientific Publishing Company, Incorporated","offers":[{"title":"Default Title","offer_id":47143739949296,"sku":"9789814578066","price":52.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0737\/7593\/9824\/files\/9789814578066_p0.jpg?v=1763691432","url":"https:\/\/shop-qa.barnesandnoble.com\/products\/9789814578066","provider":"Barnes \u0026 Noble (DEV)","version":"1.0","type":"link"}