Portfolio Selection Using Multi-Objective Optimisation, Saurabh Agarwal
Автор: Kontoghiorghes Erricos J., Gatu Cristian Название: Optimisation, Econometric and Financial Analysis ISBN: 3540366253 ISBN-13(EAN): 9783540366256 Издательство: Springer Рейтинг: Цена: 23058.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. The chapters in this part cover the application of threshold accepting in econometrics, the structure of threshold autoregressive moving average models, wavelet analysis and signal extraction techniques in time series. The third and final part of the book is about the use of optimisation in portfolio selection and real option modelling.
Автор: Agarwal Название: Developments in Mean-Variance Efficient Portfolio Selection ISBN: 1137359919 ISBN-13(EAN): 9781137359919 Издательство: Springer Рейтинг: Цена: 13974.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Описание: Investors are trying to generate excess returns through active investment strategies. 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.
Описание: Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management.
Автор: Erricos Kontoghiorghes; Cristian Gatu Название: Optimisation, Econometric and Financial Analysis ISBN: 3642071716 ISBN-13(EAN): 9783642071713 Издательство: Springer Рейтинг: Цена: 23058.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modeling, emphasizing computational optimisation methods and techniques.
Описание: 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
Автор: Markowitz, Harry M. Название: Portfolio selection ISBN: 1557861080 ISBN-13(EAN): 9781557861085 Издательство: Wiley Рейтинг: Цена: 10296.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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.
Автор: Dochow Название: Online Algorithms for the Portfolio Selection Problem ISBN: 3658135271 ISBN-13(EAN): 9783658135270 Издательство: Springer Рейтинг: Цена: 9141.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
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.
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