Developments in Mean-Variance Efficient Portfolio Selection, Agarwal

Автор: Hilpisch Yves
Название: Listed Volatility and Variance Derivatives
ISBN: 1119167914 ISBN-13(EAN): 9781119167914
Издательство: Wiley
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Цена: 9979.00 р.
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Описание: Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products.

Автор: Dochow
Название: Online Algorithms for the Portfolio Selection Problem
ISBN: 3658135271 ISBN-13(EAN): 9783658135270
Издательство: Springer
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Цена: 9141.00 р.
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Описание: Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk-adjusted performance. In addition, when the objective is the minimization of risk, the two new algorithms with risk management show excellent performance. A prototype of a software tool for automated evaluation of algorithms for portfolio selection is given.

Автор: Markowitz, Harry M.
Название: Portfolio selection
ISBN: 1557861080 ISBN-13(EAN): 9781557861085
Издательство: Wiley
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Цена: 10296.00 р.
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Описание: This is a classic book, representing the first major breakthrough in the field of modern financial theory. In effect, it created the mathematics of portfolio selection in a model which has turned out to be the indispensable building block from which the theory of the demand for risky securities is constructed.