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Modeling, measuring and managing risk

Author: Georg Ch Pflug; Werner Römisch
Publisher: Hackensack, N.J. : World Scientific, ©2007.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk. The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Pflug, Georg Ch., 1951-
Modeling, measuring and managing risk.
Hackensack, N.J. : World Scientific, ©2007
(DLC) 2007021405
(OCoLC)134992753
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Georg Ch Pflug; Werner Römisch
ISBN: 1281918555 9781281918550 9789812708724 9812708723
OCLC Number: 666956630
Description: 1 online resource (xv, 286 pages) : illustrations (some color)
Contents: Modeling uncertain outcomes --
The three Ms of decision making under uncertainty --
Probability models and scenario distributions --
Standard statistical parameters --
Measuring single-period risk --
Probability functionals and their properties --
Acceptability functionals and deviation risk functionals --
Conditional acceptability and risk mappings --
Classes of version-independent acceptability-type functionals --
Classes of version-independent deviation-type functionals --
Measuring multi-period risk --
Introduction to multi-period models --
Multi-period risk functionals : basic properties --
Classes of multi-period acceptability functionals --
Single-stage decision models --
Multi-stage decision models for financial management --
Value-of-information : standard and clairvoyant problems --
Efficient frontiers in multi-stage portfolio optimization --
A multi-stage insurance model --
Multi-stage decision models for electricity management --
Case study : mean-risk portfolio optimization of a municipal power utility.
Responsibility: Georg Ch. Pflug, Werner Römisch.

Abstract:

Combines the treatment of properties of the risk measures with the related aspects of decision making under risk. This book introduces the theory of risk measures in a mathematically sound way. It  Read more...

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