November 2017
Beginner
784 pages
22h 31m
English
From Chapter 8 on, we have considered static portfolio management models, where we make a decision at time t = 0 and observe the result at time t = T, the end of a predefined holding period. Representing uncertainty in this context requires the characterization of a multivariate distribution of risk factors, which is not quite trivial. However, there are even more complicated problems, calling for a dynamic characterization of uncertainty.