Portfolio Optimization and Performance Analysis

Innbundet / 2007 / Engelsk

Produktdetaljer

ISBN13
9781584885788
Publisert
2007
Utgiver
Vendor
Chapman & Hall/CRC
Aldersnivå
06, P
Språk
Product language
Engelsk
Format
Product format
Innbundet
Sider
456
Vekt
750 gr
Høyde
235 mm
Bredde
156 mm
Se alle
Forfatter

Portfolio Optimization and Performance Analysis

Innbundet / 2007 / Engelsk
In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization.Divided into four sections that mirror the book's aims, this resource first describes the fundamental results of decision theory, including utility maximization and risk measure minimization. Covering both active and passive portfolio management, the second part discusses standard portfolio optimization and performance measures. The book subsequently introduces dynamic portfolio optimization based on stochastic control and martingale theory. It also outlines portfolio optimization with market frictions, such as incompleteness, transaction costs, labor income, and random time horizon. The final section applies theoretical results to practical portfolio optimization, including structured portfolio management. It details portfolio insurance methods as well as performance measures for alternative investments, such as hedge funds. Taking into account the different features of portfolio management theory, this book promotes a thorough understanding for students and professionals in the field.
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Presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework. This work offers an overview of standard portfolio optimization. It provides a review of the main results for static and dynamic cases. It shows how theoretical results can be applied to practical and operational portfolio optimization.
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UTILITY AND RISK ANALYSIS Utility Theory Preferences under uncertainty Expected utility Risk aversion Stochastic dominance Alternative expected utility theoryRisk Measures Coherent and convex risk measuresStandard risk measuresSTANDARD PORTFOLIO OPTIMIZATION Static OptimizationMean-variance analysisAlternative criteriaFurther reading Indexed Funds and Benchmarking Indexed fundsBenchmark portfolio optimizationFurther readingPortfolio Performance Standard performance measures Performance decomposition Further readingDYNAMIC PORTFOLIO OPTIMIZATION Dynamic Programming Optimization Control theory Lifetime portfolio selectionFurther readingOptimal Payoff Profiles and Long-Term Management Optimal payoffs as functions of a benchmarkApplication to long-term management Further reading Optimization within Specific Markets Optimization in incomplete markets Optimization with constraintsOptimization with transaction costs Other frameworksFurther readingSTRUCTURED PORTFOLIO MANAGEMENT Portfolio Insurance The option-based portfolio insurance The constant proportion portfolio insurance Comparison between OBPI and CPPIFurther readingOptimal Dynamic Portfolio with Risk Limits Optimal insured portfolio: discrete-time caseOptimal insured portfolio: the dynamically complete caseValue-at-risk and expected shortfall-based management Further readingHedge Funds The hedge funds industry Hedge funds performance Optimal allocation in hedge funds Further readingReferences
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"The book will be interesting both to academic and professional readers, for it well introduces modern portfolio problems, which can be studied theoretically and/or practically."-Mathematical Reviews "...the text is easy to follow. The illustrations provided nicely blend with the theory and discussions. ... the book should be very attractive to graduate students with an interest in portfolio theory and researchers in the specified field. ..."-MAA Reviews, July 2008
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University of Cergy-Pontoise, France Cambridge Systems Associates Limited, UK University of Maryland, College Park, USA Columbia University, New York, USA
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Produktdetaljer

ISBN13
9781584885788
Publisert
2007
Utgiver
Vendor
Chapman & Hall/CRC
Aldersnivå
06, P
Språk
Product language
Engelsk
Format
Product format
Innbundet
Sider
456
Vekt
750 gr
Høyde
235 mm
Bredde
156 mm
Se alle
Forfatter

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