Portfolio Optimization with Different Information Flow Book

Portfolio Optimization with Different Information Flow

  • Author : Caroline Hillairet
  • Publisher : Elsevier
  • Release Date : 2017-02-10
  • Genre: Business & Economics
  • Pages : 190
  • ISBN 10 : 9780081011775

Portfolio Optimization with Different Information Flow Book Description :

Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtration theory.The authors apply the theory of the enlargement of filtrations and solve the optimization problem. Two main types of enlargement of filtration are discussed: initial and progressive, using tools from various fields, such as from stochastic calculus and convex analysis, optimal stochastic control and backward stochastic differential equations. This theoretical and numerical analysis is applied in different market settings to provide a good basis for the understanding of portfolio optimization with different information flow. Presents recent progress of stochastic portfolio optimization with exotic filtrations Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations

Enlargement of Filtration with Finance in View Book

Enlargement of Filtration with Finance in View

  • Author : Anna Aksamit
  • Publisher : Springer
  • Release Date : 2017-11-18
  • Genre: Mathematics
  • Pages : 150
  • ISBN 10 : 9783319412559

Enlargement of Filtration with Finance in View Book Description :

This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many examples and applications to finance, in particular to credit risk modelling and the study of asymmetric information, are provided to illustrate the theory. A detailed summary of further connections and applications is given in bibliographic notes which enables to deepen study of the topic. This book fills a gap in the literature and serves as a guide for graduate students and researchers interested in the role of information in financial mathematics and in econometric science. A basic knowledge of the general theory of stochastic processes is assumed as a prerequisite.

Arbitrage  Credit and Informational Risks Book

Arbitrage Credit and Informational Risks

  • Author : Caroline Hillairet
  • Publisher : World Scientific
  • Release Date : 2014-03-18
  • Genre: Mathematics
  • Pages : 276
  • ISBN 10 : 9789814602082

Arbitrage Credit and Informational Risks Book Description :

This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:Arbitrage:No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier)Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)Credit Risk:Pricing Credit Derivatives with a Structural Default Model (Sébastien Hitier and Ying Zhu)Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Stéphane Crépey)Dynamic One-default Model (Shiqi Song)Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)Control Problem and Information Risks:Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski)A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Réveillac)A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows (Caroline Hillairet)Option Pricing under Stochastic Volatility, Jumps and Cost of Information (Sana Mahfoudh and Monique Pontier) Readership: Advanced undergraduates, graduates and researchers in financial mathematics. Key Features:Treats new problems and challenges issued from the recent financial crisis and proposes original research papers on the modeling and management of the related financial risks, notably the credit risk and information asymmetry risksThe contributors consist of worldwide renowned experts and also promising young scientists in financial

Integration of Information Flow for Greening Supply Chain Management Book

Integration of Information Flow for Greening Supply Chain Management

  • Author : Adam Kolinski
  • Publisher : Springer Nature
  • Release Date : 2019-08-21
  • Genre: Science
  • Pages : 415
  • ISBN 10 : 9783030243555

Integration of Information Flow for Greening Supply Chain Management Book Description :

This book provides a framework for integrating information management in supply chains. Current trends in business practice have made it necessary to explore the potential held by information integration with regard to environmental aspects. Information flow integration provides an opportunity to focus on the creation of a more “green” supply chain. However, it is currently difficult to identify the impact of information integration on greening a supply chain in a wide range of practical applications. Accordingly, this book focuses on the potential value of information integration solutions in terms of greening supply chain management. It covers the following major topics: Application of information flow standards in the supply chain Information systems and technological solutions for integrating information flows in supply chains The Internet of Things and the industry 4.0 concept, with regard to the integration of supply chains Modeling and simulation of logistics processes Decision-making tools enabling the greening of supply chains

Portfolio Management Book
Score: 5
From 1 Ratings

Portfolio Management

  • Author : Shan Rajegopal
  • Publisher : Palgrave Macmillan
  • Release Date : 2012-11-29
  • Genre: Business & Economics
  • Pages : 238
  • ISBN 10 : 9781137023339

Portfolio Management Book Description :

Technology is accelerating the speed of change, increasing competition in the marketplace and forcing business leaders to be agile and innovative in order to stay ahead of competitors. Where some companies are falling by the wayside, others are excelling in decision-making and execution. What makes the difference? Businesses that are good at managing change have an end-to-end approach in thinking about innovation, investment and implementation. Right at the outset they think about how to establish a culture of innovation, how to align innovation and investment decision-making, how to prioritise resources to the right areas and how to streamline the myriad of decision-making processes to manage implementation and measure results to drive continuous improvement. In Portfolio Management, Shan Rajegopal, a leading authority on innovation and project portfolio management, sets out in a clear, simple style the key factors you need to address to ensure the good innovative ideas bubble to the top, that you make better investment decisions and can manage implementation with less wasted resources and time. Using a tried-and-tested, integrated, project portfolio management framework that aligns innovation, investment and implementation, this book is an essential blueprint for business executives who are seeking big returns from their innovation investments!

Bond Portfolio Optimization Book

Bond Portfolio Optimization

  • Author : Michael Puhle
  • Publisher : Springer Science & Business Media
  • Release Date : 2008-01-08
  • Genre: Business & Economics
  • Pages : 140
  • ISBN 10 : 354076593X

Bond Portfolio Optimization Book Description :

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.

Stochastic Optimization Methods in Finance and Energy Book

Stochastic Optimization Methods in Finance and Energy

  • Author : Marida Bertocchi
  • Publisher : Springer Science & Business Media
  • Release Date : 2011-09-15
  • Genre: Business & Economics
  • Pages : 476
  • ISBN 10 : 1441995862

Stochastic Optimization Methods in Finance and Energy Book Description :

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.

Encyclopedia of Business Analytics and Optimization Book

Encyclopedia of Business Analytics and Optimization

  • Author : Wang, John
  • Publisher : IGI Global
  • Release Date : 2014-02-28
  • Genre: Business & Economics
  • Pages : 2754
  • ISBN 10 : 9781466652033

Encyclopedia of Business Analytics and Optimization Book Description :

As the age of Big Data emerges, it becomes necessary to take the five dimensions of Big Data- volume, variety, velocity, volatility, and veracity- and focus these dimensions towards one critical emphasis - value. The Encyclopedia of Business Analytics and Optimization confronts the challenges of information retrieval in the age of Big Data by exploring recent advances in the areas of knowledge management, data visualization, interdisciplinary communication, and others. Through its critical approach and practical application, this book will be a must-have reference for any professional, leader, analyst, or manager interested in making the most of the knowledge resources at their disposal.

Optimization Methods in Finance Book
Score: 3
From 2 Ratings

Optimization Methods in Finance

  • Author : Gerard Cornuejols
  • Publisher : Cambridge University Press
  • Release Date : 2006-12-21
  • Genre: Mathematics
  • Pages :
  • ISBN 10 : 9781139460569

Optimization Methods in Finance Book Description :

Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

Advances in Active Portfolio Management  New Developments in Quantitative Investing Book

Advances in Active Portfolio Management New Developments in Quantitative Investing

  • Author : Ronald N. Kahn
  • Publisher : McGraw Hill Professional
  • Release Date : 2019-09-13
  • Genre: Business & Economics
  • Pages : 464
  • ISBN 10 : 9781260453720

Advances in Active Portfolio Management New Developments in Quantitative Investing Book Description :

From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn. Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn’s legendary approach to meet current challenges. Composed of articles published in today’s leading management publications—including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into: • Dynamic Portfolio Management • Signal Weighting • Implementation Efficiency • Holdings-based attribution • Expected returns • Risk management • Portfolio construction • Fees Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors’ framework, and applying the framework in today’s investing landscape. The culmination of many decades of investing experience and research, Advances in Active Portfolio Managementmakes complex issues easy to understand and put into practice. It’s the one-stop resource you need to succeed in the world of investing today.

Strategic Information Technology and Portfolio Management Book

Strategic Information Technology and Portfolio Management

  • Author : Tan, Albert Wee Kwan
  • Publisher : IGI Global
  • Release Date : 2009-03-31
  • Genre: Computers
  • Pages : 466
  • ISBN 10 : 9781599046891

Strategic Information Technology and Portfolio Management Book Description :

"The objectives of the proposed book are to provide techniques and tools appropriate for building application portfolios and develop strategies that increase financial performance"--Provided by publisher.

Energy Trading and Risk Management Book

Energy Trading and Risk Management

  • Author : Iris Marie Mack
  • Publisher : John Wiley & Sons
  • Release Date : 2014-04-07
  • Genre: Business & Economics
  • Pages : 400
  • ISBN 10 : 9781118339343

Energy Trading and Risk Management Book Description :

A comprehensive overviewof trading and risk management in the energy markets Energy Trading and Risk Management provides a comprehensiveoverview of global energy markets from one of the foremostauthorities on energy derivatives and quantitative finance. With anapproachable writing style, Iris Mack breaks down the three primaryapplications for energy derivatives markets – RiskManagement, Speculation, and Investment Portfolio Diversification– in a way that hedge fund traders, consultants, and energymarket participants can apply in their day to day tradingactivities. Moving from the fundamentals ofenergy markets through simple and complex derivatives trading,hedging strategies, and industry-specific case studies, Dr. Mackwalks readers through energy trading and risk management conceptsat an instructive pace, supporting her explanations with real-worldexamples, illustrations, charts, and precise definitions ofimportant and often-misunderstood terms. From stochastic pricing modelsfor exotic derivatives, to modern portfolio theory (MPT), energyportfolio management (EPM), to case studies dealing specificallywith risk management challenges unique to wind and hydro-electricpower, the bookguides readers through the complex world of energytrading and risk management to help investors, executives, andenergy professionals ensure profitability and optimal riskmitigation in every market climate. Energy Trading and RiskManagement is a great resource to help grapple with the veryinteresting but oftentimes complex issues that arise in energytrading and risk management.

Equity Valuation and Portfolio Management Book

Equity Valuation and Portfolio Management

  • Author : Frank J. Fabozzi
  • Publisher : John Wiley & Sons
  • Release Date : 2011-09-20
  • Genre: Business & Economics
  • Pages : 576
  • ISBN 10 : 9781118156551

Equity Valuation and Portfolio Management Book Description :

A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities. Discusses both fundamental and new techniques for valuation and strategies Fabozzi and Markowitz are experts in the fields of investment management and economics Includes end of chapter bullet point summaries, key chapter take-aways, and study questions Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.

Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA Book

Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA

  • Author : Antonio Daniel Silva
  • Publisher : Springer
  • Release Date : 2016-02-11
  • Genre: Computers
  • Pages : 95
  • ISBN 10 : 9783319293929

Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA Book Description :

This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage

Exploiting Investor Sentiment for Portfolio Optimization Book

Exploiting Investor Sentiment for Portfolio Optimization

  • Author : Nicolas Banholzer
  • Publisher : GRIN Verlag
  • Release Date : 2018-09-17
  • Genre: Mathematics
  • Pages : 112
  • ISBN 10 : 9783668799509

Exploiting Investor Sentiment for Portfolio Optimization Book Description :

Master's Thesis from the year 2018 in the subject Statistics, grade: 1.0, University of Augsburg (Wirtschaftswissenschaftliche Fakultät, Lehrstuhl für Statistik), language: English, abstract: In efficient financial markets, there is no room for sentimental investors. Any new information would be immediately absorbed and any mispricing immediately corrected by the forces of rational arbitrageurs doing the maths with the fundamentals. But why should financial markets be different from any other market where humans interact and are subject to psychological biases? There is strong empirical evidence that investor sentiment, broadly defined as "a belief about future cash flows and investment risks that is not justified by the facts at hand", plays an important role in financial markets. It can lead to significant overpricing/underpricing, particularly of assets prone to subjective valuations. With limits/risks to arbitrage in the short term, prices rather correct over the medium to long term as sentimental beliefs mean-revert. Building on the studies by Baker and Wurgler 2006 and Baker, Wurgler, and Y. Yuan 2012, measures of investor sentiment for international markets are constructed. Using the Copula Opinion Pooling approach developed by Attilio Meucci, this thesis shows how to incorporate these sentiment measures into portfolio optimization. Thereby, a sentiment-based trading strategy that exploits the medium-term reversal effect of sentiment is developed and empirically tested. The results are promising as they provide strong evidence that sentiment contains beneficial information that should not be neglected by quantitative portfolio managers.

Mathematical Reviews Book

Mathematical Reviews

  • Author :
  • Publisher :
  • Release Date : 2008
  • Genre: Mathematics
  • Pages :
  • ISBN 10 : UOM:39015082440887

Mathematical Reviews Book Description :

Statistical Decision Problems Book

Statistical Decision Problems

  • Author : Michael Zabarankin
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-12-16
  • Genre: Business & Economics
  • Pages : 249
  • ISBN 10 : 9781461484714

Statistical Decision Problems Book Description :

Statistical Decision Problems presents a quick and concise introduction into the theory of risk, deviation and error measures that play a key role in statistical decision problems. It introduces state-of-the-art practical decision making through twenty-one case studies from real-life applications. The case studies cover a broad area of topics and the authors include links with source code and data, a very helpful tool for the reader. In its core, the text demonstrates how to use different factors to formulate statistical decision problems arising in various risk management applications, such as optimal hedging, portfolio optimization, cash flow matching, classification, and more. The presentation is organized into three parts: selected concepts of statistical decision theory, statistical decision problems, and case studies with portfolio safeguard. The text is primarily aimed at practitioners in the areas of risk management, decision making, and statistics. However, the inclusion of a fair bit of mathematical rigor renders this monograph an excellent introduction to the theory of general error, deviation, and risk measures for graduate students. It can be used as supplementary reading for graduate courses including statistical analysis, data mining, stochastic programming, financial engineering, to name a few. The high level of detail may serve useful to applied mathematicians, engineers, and statisticians interested in modeling and managing risk in various applications.

Portfolio Management with Heuristic Optimization Book

Portfolio Management with Heuristic Optimization

  • Author : Dietmar G. Maringer
  • Publisher : Springer Science & Business Media
  • Release Date : 2005-12-12
  • Genre: Business & Economics
  • Pages : 223
  • ISBN 10 : 0387258523

Portfolio Management with Heuristic Optimization Book Description :

Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations) deals with the foundations of portfolio optimization, its assumptions, approaches and the limitations when "traditional" optimization techniques are to be applied. In addition, the basic concepts of several heuristic optimization techniques are presented along with examples of how to implement them for financial optimization problems. The second part (Applications and Contributions) consists of five chapters, covering different problems in financial optimization: the effects of (linear, proportional and combined) transaction costs together with integer constraints and limitations on the initital endowment to be invested; the diversification in small portfolios; the effect of cardinality constraints on the Markowitz efficient line; the effects (and hidden risks) of Value-at-Risk when used the relevant risk constraint; the problem factor selection for the Arbitrage Pricing Theory.

Market Microstructure Book

Market Microstructure

  • Author : Frédéric Abergel
  • Publisher : John Wiley & Sons
  • Release Date : 2012-04-03
  • Genre: Business & Economics
  • Pages : 416
  • ISBN 10 : 9781119952787

Market Microstructure Book Description :

The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.

A Beta return Efficient Portfolio Optimisation Following the CAPM Book

A Beta return Efficient Portfolio Optimisation Following the CAPM

  • Author : Markus Vollmer
  • Publisher : Springer
  • Release Date : 2014-07-17
  • Genre: Business & Economics
  • Pages : 124
  • ISBN 10 : 9783658066345

A Beta return Efficient Portfolio Optimisation Following the CAPM Book Description :

Investors are trying to generate excess returns through active investment strategies. Since the outbreak of the financial crisis, investors face a situation where increased risks are accompanied by falling key interest rates. An optimal portfolio in terms of risk and return becomes a perpetual motion machine. Markus Vollmer answers the question how the seemingly impossible could still be achieved by an empirical analysis of historical data of 1’800 stocks listed at equity markets in 24 countries covering all 19 super sectors. The author offers valid and reliable findings by using the previously mentioned data proxy. He reveals purposefully the need for further research and simultaneously he derives specific and applicable guidelines for the design of investment strategies which are extremely exciting for both the institutional expert and the private investor.