Vinod and Reagle, both affiliated with the Department of Economics at Fordham University, focuses on downside risk and explains how to incorporate it into investment decisions. Highlighting this asymmetry of the stock market, the authors present the latest ideas in the field from the ground up and demonstrate various techniques for calculating downside risk. The book is accessible to mathematicians and statisticians interested in applications in finance, as well as to finance professionals who may not have a mathematical background. Annotation ©2004 Book News, Inc., Portland, OR
Table of Contents
| 1 |
Quantitative measures of the stock market |
1 |
| 2 |
A short review of the theory of risk measurement |
29 |
| 3 |
Hedging to avoid market risk |
55 |
| 4 |
Monkey wrench in the works : when the theory fails |
75 |
| 5 |
Downside risk |
101 |
| 6 |
Portfolio valuation and utility theory |
119 |
| 7 |
Incorporating downside risk |
155 |
| 8 |
Mathematical techniques |
181 |
| 9 |
Computational issues |
207 |
| 10 |
What does it all mean? |
247 |