Svetlozar T. Rachev and Stoyan V. Stoyanov and Frank J. Fabozzi.
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures.
John Wiley and Sons, 2008.

Bibtex:

@Book{           rachev:2008:ASMR,
  Author = 	 "Svetlozar T. Rachev and Stoyan V. Stoyanov and Frank
                  J. Fabozzi",
  title = 	 "Advanced Stochastic Models, Risk Assessment, and
                  Portfolio Optimization: The Ideal Risk, Uncertainty,
                  and Performance Measures",
  Publisher = 	 "John Wiley and Sons",
  year = 	 "2008",
}