Hands-On Value-at-Risk and Expected Shortfall, Auer

Автор: Simona Roccioletti
Название: Backtesting Value at Risk and Expected Shortfall
ISBN: 3658119071 ISBN-13(EAN): 9783658119072
Издательство: Springer
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Цена: 7836.00 р.
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Описание: In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes.

Автор: John Quiggin
Название: Generalized Expected Utility Theory
ISBN: 9401049661 ISBN-13(EAN): 9789401049665
Издательство: Springer
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Цена: 20962.00 р.
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Описание: Economic analysis of choice under uncertainty has been dominated by the expected utility (EU) model, yet the EU model has never been without critics.

Автор: Ilmanen, Antti
Название: Expected returns
ISBN: 1119990726 ISBN-13(EAN): 9781119990727
Издательство: Wiley
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Цена: 8078.00 р.
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Описание: This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters.

Автор: Hakansson Nils H
Название: Social Security`S Investment Shortfall: $8 Trillion Plus - And The Way Forward - Plus How The Us Government`S Financial Deficit Reporting = 64 Madoffs
ISBN: 9814407968 ISBN-13(EAN): 9789814407960
Издательство: World Scientific Publishing
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Цена: 5069.00 р.
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Описание: Documents two public policy mistakes of the US Government that have been extremely costly. This study puts forth the notion of Social Security as a minimal safety net is consistent with the views of Adam Smith and Friedrich Hayek and that private social security accounts are inefficient and subject to moral hazard and huge productivity losses.

Автор: Christian Gollier; Mark J. Machina
Название: Non-Expected Utility and Risk Management
ISBN: 9048157994 ISBN-13(EAN): 9789048157990
Издательство: Springer
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Цена: 23757.00 р.
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Описание: Expected utility provides simple, testable properties of the optimum behavior that should be displayed by risk-averse individuals in risky decisions. Simultaneously, given the existence of paradoxes under the expected utility paradigm, expected utility can only be regarded as an approximation of actual behavior.