Portfolio Optimization and Performance Analysis
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A01=Jean-Luc Prigent
ARA
asset
asset allocation strategies
Author_Jean-Luc Prigent
benchmark portfolio analysis
Category=KFFM
Conditional Expectation
control theory
Convex Measures
Convex Risk Measure
CPPI
CRRA Utility Functions
Cumulative Distribution Function
CVaR
dominance
dynamic portfolio optimization with constraints
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Expected Utility
financial mathematics
function
Growth Optimal Portfolio
Guarantee Constraint
hedge funds
Jean-Luc Prigent
Local Martingale
Optimal Dynamic Portfolio
passive investment techniques
performance analysis
Performance Persistence
Portfolio Insurance
Portfolio Optimization
Portfolio Weighting
problem
ratio
risk measures
Risk Neutral Probability
riskless
Riskless Asset
risky
Risky Asset
sharpe
Sharpe Ratio
Spectral Risk Measures
stochastic
stochastic control methods
stochastic optimization
transaction cost modeling
utility
Utility Function
utility theory
VaR Constraint
Product details
- ISBN 9781584885788
- Weight: 1000g
- Dimensions: 156 x 234mm
- Publication Date: 07 May 2007
- Publisher: Taylor & Francis Inc
- Publication City/Country: US
- Product Form: Hardback
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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.
University of Cergy-Pontoise, France Cambridge Systems Associates Limited, UK University of Maryland, College Park, USA Columbia University, New York, USA
