Statistical decision problems. Selected concepts and portfolio safeguard case studies (Q2393404)

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. Examples include optimal hedging, portfolio optimization, cash flow matching, and classification using Support Vector Machines. The book will mostly benefit readers who use or consider using Portfolio Safeguard and are looking for a complementary, textbook-style treatment.