Springer Optimization and Its Applications

Statistical Decision Problems

Selected Concepts and Portfolio Safeguard Case Studies

Authors: Zabarankin, Michael, Uryasev, Stanislav

  • ​​Presents a quick and concise introduction into the theory of risk, deviation and error measures that play a key role in statistical decision problems
  • Discusses basic principles of statistical decision making from optimization perspective in various risk management applications such as optimal hedging, portfolio optimization, portfolio replication, and more
  • Introduces state-of-the-art practical decision making through seventeen case studies from real-life applications​
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eBook $84.99
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  • ISBN 978-1-4614-8471-4
  • Digitally watermarked, DRM-free
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  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-1-4614-8470-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.00
price for USA
  • ISBN 978-1-4939-5325-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
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About this book

Statistical Decision Problems presents a quick and concise introduction into the theory of risk, deviation and error measures that play a key role in statistical decision problems. It introduces state-of-the-art practical decision making through twenty-one case studies from real-life applications. The case studies cover a broad area of topics and the authors include links with source code and data, a very helpful tool for the reader. In its core, the text demonstrates how to use different factors to formulate statistical decision problems arising in various risk management applications, such as optimal hedging, portfolio optimization, cash flow matching, classification, and more.

 

The presentation is organized into three parts: selected concepts of statistical decision theory, statistical decision problems, and case studies with portfolio safeguard. The text is primarily aimed at practitioners in the areas of risk management, decision making, and statistics. However, the inclusion of a fair bit of mathematical rigor renders this monograph an excellent introduction to the theory of general error, deviation, and risk measures for graduate students. It can be used as supplementary reading for graduate courses including statistical analysis, data mining, stochastic programming, financial engineering, to name a few. The high level of detail may serve useful to applied mathematicians, engineers, and statisticians interested in modeling and managing risk in various applications.

Reviews

From the book reviews:

“The book offers a chapter-length primer on probability and statistical risk (section I), followed by a review of standard problems and procedures, all from a statistical decision theory viewpoint (section II). The heart of the book is section III, which shows in detail how to handle many such problems using the Portfolio Safeguard software package. … The book will mostly benefit readers who use or consider using Portfolio Safeguard and are looking for a complementary, textbook-style treatment.” (Jörg Stoye, zbMATH, Vol. 1291, 2014)

Table of contents (9 chapters)

  • Random Variables

    Zabarankin, Michael (et al.)

    Pages 3-17

  • Deviation, Risk, and Error Measures

    Zabarankin, Michael (et al.)

    Pages 19-31

  • Probabilistic Inequalities

    Zabarankin, Michael (et al.)

    Pages 33-41

  • Maximum Likelihood Method

    Zabarankin, Michael (et al.)

    Pages 45-52

  • Entropy Maximization

    Zabarankin, Michael (et al.)

    Pages 53-70

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-1-4614-8471-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-1-4614-8470-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.00
price for USA
  • ISBN 978-1-4939-5325-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Statistical Decision Problems
Book Subtitle
Selected Concepts and Portfolio Safeguard Case Studies
Authors
Series Title
Springer Optimization and Its Applications
Series Volume
85
Copyright
2014
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media, New York
Distribution Rights
Distribution rights for India: Delhi Book Store, New Delhi, India
eBook ISBN
978-1-4614-8471-4
DOI
10.1007/978-1-4614-8471-4
Hardcover ISBN
978-1-4614-8470-7
Softcover ISBN
978-1-4939-5325-7
Series ISSN
1931-6828
Edition Number
1
Number of Pages
XIV, 249
Number of Illustrations and Tables
5 b/w illustrations, 4 illustrations in colour
Topics