Two Chapters of Simulation and Optimization Modeling in Finance


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Since about the mid-1990s, considerable thought and innovation in the financial industry have been directed towards creating a better understanding of risk and its measurement, and towards improving the management of risk in financial portfolios. There is an even greater sense of urgency to establish better risk management practices after the financial market collapse in the fall of 2008. The first submitted chapter provides a critical review of several types of advanced risk measures. It discusses in detail the history of, estimation of, and portfolio allocation under value-at-risk and conditional value-at-risk – two important risk measures that are widely used in practice. The second submitted chapter reviews recent developments in quantitative portfolio allocation formulations.


Finance and Financial Management | Management Sciences and Quantitative Methods | Portfolio and Security Analysis

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