Portfolio Optimization and Performance Analysis

Portfolio Optimization and Performance Analysis

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Description

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.show more

Product details

  • Hardback | 456 pages
  • 152.4 x 236.2 x 30.5mm | 748.44g
  • Taylor & Francis Inc
  • Chapman & Hall/CRC
  • Boca Raton, FL, United States
  • English
  • 74 black & white illustrations, 27 black & white tables
  • 1584885785
  • 9781584885788

Table of contents

UTILITY AND RISK ANALYSIS Utility Theory Preferences under uncertainty Expected utility Risk aversion Stochastic dominance Alternative expected utility theory Risk Measures Coherent and convex risk measures Standard risk measures STANDARD PORTFOLIO OPTIMIZATION Static Optimization Mean-variance analysis Alternative criteria Further reading Indexed Funds and Benchmarking Indexed funds Benchmark portfolio optimization Further reading Portfolio Performance Standard performance measures Performance decomposition Further reading DYNAMIC PORTFOLIO OPTIMIZATION Dynamic Programming Optimization Control theory Lifetime portfolio selection Further reading Optimal Payoff Profiles and Long-Term Management Optimal payoffs as functions of a benchmark Application to long-term management Further reading Optimization within Specific Markets Optimization in incomplete markets Optimization with constraints Optimization with transaction costs Other frameworks Further reading STRUCTURED PORTFOLIO MANAGEMENT Portfolio Insurance The option-based portfolio insurance The constant proportion portfolio insurance Comparison between OBPI and CPPI Further reading Optimal Dynamic Portfolio with Risk Limits Optimal insured portfolio: discrete-time case Optimal insured portfolio: the dynamically complete case Value-at-risk and expected shortfall-based management Further reading Hedge Funds The hedge funds industry Hedge funds performance Optimal allocation in hedge funds Further reading Referencesshow more

About Jean-Luc Prigent

University of Cergy-Pontoise, France Cambridge Systems Associates Limited, UK University of Maryland, College Park, USA Columbia University, New York, USAshow more

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