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

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Portfolio Optimization with Different Information Flow Excerpt :

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

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Enlargement of Filtration with Finance in View Excerpt :

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.

IT  Information Technology  Portfolio Management Step by Step Book

IT Information Technology Portfolio Management Step by Step


  • Author : Bryan Maizlish
  • Publisher : John Wiley & Sons
  • Release Date : 2010-10-07
  • Genre: Business & Economics
  • Pages : 400
  • ISBN 10 : 9781118005057

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IT Information Technology Portfolio Management Step by Step Excerpt :

Praise for IT Portfolio Management Step-by-Step "Bryan Maizlish and Robert Handler bring their deep experience in IT 'value realization' to one of the most absent of all IT management practices--portfolio management. They capture the essence of universally proven investment practices and apply them to the most difficult of challenges--returning high strategic and dollar payoffs from an enterprise's IT department. The reader will find many new and rewarding insights to making their IT investments finally return market leading results." --John C. Reece, Chairman and CEO, John C. Reece & Associates, LLC Former deputy commissioner for modernization and CIO of the IRS "IT Portfolio Management describes in great detail the critical aspects, know-how, practical examples, key insights, and best practices to improve operational efficiency, corporate agility, and business competitiveness. It eloquently illustrates the methods of building and integrating a portfolio of IT investments to ensure the realization of maximum value and benefit, and to fully leverage the value of all IT assets. Whether you are getting started or building on your initial success in IT portfolio management, this book will provide you information on how to build and implement an effective IT portfolio management strategy." --David Mitchell, President and CEO, webMethods, Inc. "I found IT Portfolio Management very easy to read, and it highlights many of the seminal aspects and best practices from financial portfolio management. It is an important book for executive, business, and IT managers." --Michael J. Montgomery, President, Montgomery & Co. "IT Portfolio Management details a comprehensive framework and process showing how to align business and IT for superior value. Maizlish and Handler have the depth of experience, knowledge, and insight needed to tackle the challenges and opportunities companies face in optimizing their IT investment portfolios. This is an exceptionally important book for executiv

Financial Services Information Systems Book

Financial Services Information Systems


  • Author : Jessica Keyes
  • Publisher : CRC Press
  • Release Date : 2000-03-24
  • Genre: Computers
  • Pages : 947
  • ISBN 10 : 9781135482534

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Financial Services Information Systems Excerpt :

The calculus of IT support for the banking, securities, and insurance industries has changed dramatically and rapidly over the past few years. Consolidation and deregulation are creating opportunities and challenges never before seen. Unheard of just a few years ago, e-commerce has given birth to new infrastructures and departments needed to support them. And the Internet/Intranet/Extranet triple-whammy is the most critical component of most financial IT shops. At the same time, new intelligent agents stand ready to take on such diverse functions as customer profiling and data mining. Get a handle on all these new and newer ripples with Financial Services Information Systems. Here, in this exhaustive new guide and reference book, industry guru Jessica Keyes gives you the no-nonsense scoop on not just the tried and true IT tools of today, but also the up-and-coming "hot" technologies of tomorrow, and how to plan for them. Financial Services Information Systems addresses challenges and solutions associated with: supporting the self-service revolution by servicing kiosks and ATMs efficiently and economically, straight-through processing for the securities industry, outsourcing business communications in the insurance industry, distributed integration as a cost-effective alternative to data warehousing, and putting inbound fax automation to work in financial organizations.

Evolutionary Multi Criterion Optimization Book

Evolutionary Multi Criterion Optimization


  • Author : Carlos M. Fonseca
  • Publisher : Springer
  • Release Date : 2003-08-03
  • Genre: Science
  • Pages : 825
  • ISBN 10 : 9783540369707

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Evolutionary Multi Criterion Optimization Excerpt :

This book constitutes the refereed proceedings of the Second International Conference on Evolutionary Multi-Criterion Optimization, EMO 2003, held in Faro, Portugal, in April 2003. The 56 revised full papers presented were carefully reviewed and selected from a total of 100 submissions. The papers are organized in topical sections on objective handling and problem decomposition, algorithm improvements, online adaptation, problem construction, performance analysis and comparison, alternative methods, implementation, and applications.

Handbook of Statistical Analysis and Data Mining Applications Book

Handbook of Statistical Analysis and Data Mining Applications


  • Author : Robert Nisbet
  • Publisher : Elsevier
  • Release Date : 2017-11-09
  • Genre: Mathematics
  • Pages : 822
  • ISBN 10 : 9780124166455

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Handbook of Statistical Analysis and Data Mining Applications Excerpt :

Handbook of Statistical Analysis and Data Mining Applications, Second Edition, is a comprehensive professional reference book that guides business analysts, scientists, engineers and researchers, both academic and industrial, through all stages of data analysis, model building and implementation. The handbook helps users discern technical and business problems, understand the strengths and weaknesses of modern data mining algorithms and employ the right statistical methods for practical application. This book is an ideal reference for users who want to address massive and complex datasets with novel statistical approaches and be able to objectively evaluate analyses and solutions. It has clear, intuitive explanations of the principles and tools for solving problems using modern analytic techniques and discusses their application to real problems in ways accessible and beneficial to practitioners across several areas—from science and engineering, to medicine, academia and commerce. Includes input by practitioners for practitioners Includes tutorials in numerous fields of study that provide step-by-step instruction on how to use supplied tools to build models Contains practical advice from successful real-world implementations Brings together, in a single resource, all the information a beginner needs to understand the tools and issues in data mining to build successful data mining solutions Features clear, intuitive explanations of novel analytical tools and techniques, and their practical applications

Issues in Information Science  Information Technology  Systems  and Security  2011 Edition Book

Issues in Information Science Information Technology Systems and Security 2011 Edition


  • Author : Anonim
  • Publisher : ScholarlyEditions
  • Release Date : 2012-01-09
  • Genre: Computers
  • Pages : 151
  • ISBN 10 : 9781464967795

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Issues in Information Science Information Technology Systems and Security 2011 Edition Excerpt :

Issues in Information Science: Information Technology, Systems, and Security: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Information Science—Information Technology, Systems, and Security. The editors have built Issues in Information Science: Information Technology, Systems, and Security: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Information Science—Information Technology, Systems, and Security in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Information Science: Information Technology, Systems, and Security: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Paris Princeton Lectures on Mathematical Finance 2002 Book

Paris Princeton Lectures on Mathematical Finance 2002


  • Author : Peter Bank
  • Publisher : Springer
  • Release Date : 2003-12-15
  • Genre: Mathematics
  • Pages : 178
  • ISBN 10 : 9783540448594

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Paris Princeton Lectures on Mathematical Finance 2002 Excerpt :

The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.

Stock Market Volatility Book
Score: 4
From 1 Ratings

Stock Market Volatility


  • Author : Greg N. Gregoriou
  • Publisher : CRC Press
  • Release Date : 2009-04-08
  • Genre: Business & Economics
  • Pages : 651
  • ISBN 10 : 1420099558

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Stock Market Volatility Excerpt :

Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in developed, emerging, and frontier economies. The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives. Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.

Project Governance Book

Project Governance


  • Author : Ralf Muller
  • Publisher : Routledge
  • Release Date : 2017-05-15
  • Genre: Business & Economics
  • Pages : 124
  • ISBN 10 : 9781351908504

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Project Governance Excerpt :

Without a governance structure, an organization runs the risk of conflicts and inconsistencies between the various means of achieving organizational goals, the processes and resources, causing costly inefficiencies that impact negatively on both smooth running and bottom line profitability. However, the frequency of projects failing to meet these corporate objectives has focused attention firmly on the process of project governance. In this book, Ralf Müller provides a well-researched framework to explain the different preferences organizations have in goal setting, along with the best-practices, roles and responsibilities related to governance tasks. This concise text is an important guide for project and programme managers, those managers concerned with corporate governance such as risk managers and internal auditors, project sponsors and project board members, as well as academics researching organizational and project performance. Project Governance is part of the Gower Fundamentals of Project Management Series. Practising professionals and project students will find in the fundamentals a definitive, shorthand guide to each of the main competencies associated with project management; a book that is authoritative, based on current research but immediately relevant and applicable.

Continuous time Stochastic Control and Optimization with Financial Applications Book

Continuous time Stochastic Control and Optimization with Financial Applications


  • Author : Huyên Pham
  • Publisher : Springer Science & Business Media
  • Release Date : 2009-05-28
  • Genre: Mathematics
  • Pages : 232
  • ISBN 10 : 9783540895008

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Continuous time Stochastic Control and Optimization with Financial Applications Excerpt :

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Product Focused Software Process Improvement Book

Product Focused Software Process Improvement


  • Author : Maurizio Morisio
  • Publisher : Springer Nature
  • Release Date : 2020-11-20
  • Genre: Computers
  • Pages : 462
  • ISBN 10 : 9783030641481

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Product Focused Software Process Improvement Excerpt :

This book constitutes the refereed proceedings of the 21st International Conference on Product-Focused Software Process Improvement, PROFES 2020, held in Turin, Italy, in November 2020. Due to COVID-19 pandemic the conference was held virtually. The 19 revised full papers and 3 short papers presented were carefully reviewed and selected from 68 submissions. The papers cover a broad range of topics related to professional software development and process improvement driven by product and service quality needs. They are organized in topical sections on Agile Software Development.

Computational Intelligence Applications in Business Intelligence and Big Data Analytics Book

Computational Intelligence Applications in Business Intelligence and Big Data Analytics


  • Author : Vijayan Sugumaran
  • Publisher : CRC Press
  • Release Date : 2017-06-26
  • Genre: Computers
  • Pages : 362
  • ISBN 10 : 9781351720250

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Computational Intelligence Applications in Business Intelligence and Big Data Analytics Excerpt :

There are a number of books on computational intelligence (CI), but they tend to cover a broad range of CI paradigms and algorithms rather than provide an in-depth exploration in learning and adaptive mechanisms. This book sets its focus on CI based architectures, modeling, case studies and applications in big data analytics, and business intelligence. The intended audiences of this book are scientists, professionals, researchers, and academicians who deal with the new challenges and advances in the specific areas mentioned above. Designers and developers of applications in these areas can learn from other experts and colleagues through this book.

Metaheuristic Approaches to Portfolio Optimization Book

Metaheuristic Approaches to Portfolio Optimization


  • Author : Ray, Jhuma
  • Publisher : IGI Global
  • Release Date : 2019-06-22
  • Genre: Business & Economics
  • Pages : 263
  • ISBN 10 : 9781522581048

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Metaheuristic Approaches to Portfolio Optimization Excerpt :

Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns and minimizing risks within a given investment period for a variety of assets. Metaheuristic Approaches to Portfolio Optimization is an essential reference source that examines the proper selection of financial instruments in a financial portfolio management scenario in terms of metaheuristic approaches. It also explores common measures used for the evaluation of risks/returns of portfolios in real-life situations. Featuring research on topics such as closed-end funds, asset allocation, and risk-return paradigm, this book is ideally designed for investors, financial professionals, money managers, accountants, students, professionals, and researchers.