Robust Portfolio Optimization and Management, Fabozzi

Автор: Maringer Dietmar Название: Portfolio Management with Heuristic Optimization ISBN: 0387258523 ISBN-13(EAN): 9780387258522 Издательство: Springer Рейтинг: Цена: 19634 р. Наличие на складе: Поставка под заказ.

Описание: 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.

Описание: Praise for Investment Management "This entertaining and often exciting book is the handbook for investors in search of superior results. No one knows better than Hagin how to combine theory with practice, and I believe there is no other path to superior results." Peter L. Bernstein, author of Capital Ideas: The Improbable Origins of Modern Wall Street and Against the Gods: The Remarkable Story of Risk "Bob Hagin is the ultimate poster person' for the successful marriage of investnt theory and practice. Every serious market practitioner should be grateful that Bob has set forth his hard-earned experience and well-grounded theories in such a highly readable volume." Martin Leibowitz, Vice Chairman and Chief Investment Officer, TIAA-CREF "...informative, opinionated, insightful with the added virtue of being correct. Bob Hagin is one of the pioneers of quantitative investing, and Investment Management nails the truths and half-truths about investing in the stock market. Not reading this book will put investors and fiduciaries in harm's way. It is short, sweet, and to the point must reading for all investors and fiduciaries." Theodore Aronson, Principal, Aronson + Johnson + Ortiz, LP "What a joy! There are two compelling reasons to own this book: First, it is an immensely practical yet theoretically sound guide to the real world of investment management. Second, it's lively and amusing, and you will actually enjoy reading it to the end." Wayne H. Wagner, Chairman, Plexus Group, Inc. "Investment management is based on a combination of science and wisdom. The science, in turn, is based on scholarship; and the wisdom is based on experience. Bob Hagin's career in investment management has been based on scholarship and his tenure has provided him experience. The capstone of Bob's career, Investment Management is replete with both science and wisdom. We could all benefit from Bob's scientific and wise reflections derived from a long and very successful investment management career." Frank J. Jones, Professor, Department of Accounting and Finance, San Jose University

Описание: This title covers many diverse topics in fixed income portfolio management. It addresses developments as well as key strategies and central theories, volatility frameworks for the corporate market and credit derivatives in portfolio management to name a few.

Автор: Charles Smithson Название: Credit Portfolio Management ISBN: 0471324159 ISBN-13(EAN): 9780471324157 Издательство: Wiley Рейтинг: Цена: 8181 р. Наличие на складе: Поставка под заказ.

Описание: A cutting-edge text on credit portfolio management Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and managed at financial institutions. Charles Smithson, author of the bestselling Managing Financial Risk, introduces a portfolio management approach to credit in his latest book. Understanding how to manage the inherent risks of this market has become increasingly important over the years. Credit Portfolio Management provides readers with a complete understanding of the alternative approaches to credit risk measurement and portfolio management. This definitive guide discusses the pricing and managing of credit risks associated with a variety of off-balance-sheet products such as credit default swaps, total return swaps, first-to-default baskets, and credit spread options; as well as on-balance-sheet customized structur products such as credit-linked notes, repackage notes, and synthetic collateralized debt obligations (CDOs). Filled with expert insight and advice, this book is a must-read for all credit professionals. Charles W. Smithson, PhD (New York, NY), is the Managing Partner of Rutter Associates and Executive Director of the International Association of Credit Portfolio Managers (IACPM). He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its Third Edition).

Описание: This fourth volume in the series covers a variety of topics in the field of advances in investment and portfolio management.

Автор: Kim Woo Chang Название: Robust Equity Portfolio Management + Website ISBN: 1118797264 ISBN-13(EAN): 9781118797266 Издательство: Wiley Рейтинг: Цена: 13063 р. Наличие на складе: Поставка под заказ.

Описание: A COMPREHENSIVE REVIEW OF ROBUST PORTFOLIO OPTIMIZATION Robust Equity Portfolio Management offers one-of-a-kind coverage that makes the highly complex and mathematically difficult practice of robust portfolio optimization accessible and easy to imp

Описание: In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management, and this trend will only accelerate in the coming years. Unfortunately there is a large gap between the limited treatment of portfolio construction methods that are presented in most university courses with relatively little hands-on experience and limited computing tools, and the rich and varied aspects of portfolio construction that are used in practice in the finance industry. Current practice demands the use of modern methods of portfolio construction that go well beyond the classical Markowitz mean-variance optimality theory and require the use of powerful scalable numerical optimization methods. This book fills the gap between current university instruction and current industry practice by providing a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods. The computational aspect of the book is based on extensive use of S-PlusВ®, the S+NuOPTв„ў optimization module, the S-Plus Robust Library and the S+Bayesв„ў Library, along with about 100 S-Plus scripts and some CRSPВ® sample data sets of stock returns. A special time-limited version of the S-Plus software is available to purchasers of this book.вЂњFor money managers and investment professionals in the field, optimization is truly a can of worms rather left un-opened, until now! Here lies a thorough explanation of almost all possibilities one can think of for portfolio optimization, complete with error estimation techniques and explanation of when non-normality plays a part. A highly recommended and practical handbook for the consummate professional and student alike!вЂќSteven P. Greiner, Ph.D., Chief Large Cap Quant & Fundamental Research Manager, Harris Investment ManagementвЂњThe authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software. Their book should be an enormous help to students and practitioners trying to move beyond traditional modern portfolio theory.вЂќPeter Knez, CIO, Global Head of Fixed Income, Barclays Global InvestorsвЂњWith regard to static portfolio optimization, the book gives a good survey on the development from the basic Markowitz approach to state of the art models and is in particular valuable for direct use in practice or for lectures combined with practical exercises.вЂќShort Book Reviews of the International Statistical Institute, December 2005

Автор: Fang Название: Fuzzy Portfolio Optimization ISBN: 3540779256 ISBN-13(EAN): 9783540779254 Издательство: Springer Рейтинг: Цена: 10394 р. Наличие на складе: Поставка под заказ.

Описание: Introduces progress in the field of fuzzy portfolio optimization. This book studies some fundamental issues and problems of portfolio selection.

Автор: Puhle, Michael Название: Bond portfolio optimization ISBN: 3540765921 ISBN-13(EAN): 9783540765929 Издательство: Springer Рейтинг: Цена: 10394 р. Наличие на складе: Поставка под заказ.

Описание: 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.

Описание: An updated guide to risk analysis and modeling

Although risk was once seen as something that was both unpredictable and uncontrollable, the evolution of risk analysis tools and theories has changed the way we look at this important business element. In the "Second Edition" of "Analyzing and Modeling Risk, " expert Dr. Johnathan Mun provides up-to-date coverage of risk analysis as it is applied within the realms of business risk analysis and offers an intuitive feel of what risk looks like, as well as the different ways of quantifying it.

This "Second Edition" provides professionals in all industries a more comprehensive guide on such key concepts as risk and return, the fundamentals of model building, Monte Carlo simulation, forecasting, time-series and regression analysis, optimization, real options, and more. Includes new examples, questions, and exercises as well as updates using Excel 2007 Book supported by author's proprietary risk analysis software found on the companion CD-ROM Offers both a qualitative and quantitative description of risk

Filled with in-depth insights and practical advice, this reliable resource covers all of the essential tools and techniques that risk managers need to successfully conduct risk analysis.

Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

Автор: Caroline, Hillairet Название: Portfolio Optimization with Different Information Flow ISBN: 1785480847 ISBN-13(EAN): 9781785480843 Издательство: Elsevier Science Рейтинг: Цена: 8310 р. Наличие на складе: Поставка под заказ.

Описание: 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.

Описание: Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R.

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