Name: Elliptically Contoured Models In Statistics And Portfolio Theory
ISBN: 9781461481539

Book information

Authors: Arjun K. Gupta verified identity, Tamas Varga, Taras Bodnar
First published: 2013
Editions known: 2
Publishers: Springer New York
Languages: eng
ISBN-13: 9781461481539, 9781461481546
Main topics: Portfolio Optimization, Mathematical Finance
Also covers: Risk Management, Options and Volatility
Related site topics: Options & Derivatives Pricing, Portfolio Optimization, Risk Management & Tail Risk, Stochastic Control & Optimal Stopping, Volatility Modeling & Forecasting

Overview

Elliptically Contoured Models In Statistics And Portfolio Theory is a book by Arjun K. Gupta, Tamas Varga and Taras Bodnar, first published in 2013. In this catalogue it is classified mainly under Portfolio Optimization and Mathematical Finance, with secondary coverage of Risk Management and Options and Volatility.

Audience and depth. The rule-based model places its mathematical difficulty at advanced level (7/10); readers are typically expected to know calculus, linear algebra, probability theory, statistics and stochastic processes.

Orientation. The metadata points to a balance of theory and applied material. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 96% and difficulty confidence is 93%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	71/100 confidence 96% Score 71.0/100. Strongest: quant_relevance 0.99, technical_depth 0.70; weakest: practical_applicability 0.17. Evidence: title:'portfolio theory', subjects:'mathematical finance', openalex_topics:'volatility modeling'.
Mathematical difficulty	Advanced (7/10) confidence 93%
Prerequisites	calculus, linear algebra, probability theory, statistics, stochastic processes
Practical orientation	Balanced
Metadata quality	84%

Difficulty evidence (8 signals)

advanced_statistics matched in subjects: “multivariate analysis”
intro_statistics matched in subjects: “statistics for”
mathematical_finance_core matched in subjects: “mathematical finance”
portfolio_theory matched in ol_description: “portfolio theory”
portfolio_theory matched in title: “portfolio theory”
probability_basics matched in ol_description: “distributions”
probability_basics matched in openalex_topics: “distribution”
probability_basics matched in subjects: “probability”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions Topic similarity inferred similarity 0.42
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization Topic similarity inferred similarity 0.40
Behavioral Probability Weighting and Portfolio Optimization under Semi-Heavy Tails Topic similarity inferred similarity 0.40
Generative Machine Learning for Multivariate Equity Returns Topic similarity inferred similarity 0.39
Time-Varying Factor-Augmented Models for Volatility Forecasting Related research area inferred similarity 0.39
Systematic comparison of deep generative models applied to multivariate financial time series Topic similarity inferred similarity 0.39

Similar books

Market Risk and Financial Markets Modeling inferred similarity 0.61
Mathematical Risk Analysis inferred similarity 0.60
Extreme Financial Risks inferred similarity 0.60
Risk and Portfolio Analysis inferred similarity 0.59
Mathematical Finance inferred similarity 0.56

Author profiles

Arjun K. Gupta verified identity
Tamas Varga (no profile page: identity not verified or too little data)
Taras Bodnar (no profile page: identity not verified or too little data)

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9781461481546) (search link; may be an affiliate link)

Relationship graph

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