Portfolio Optimization and Performance AnalysisIn 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, cont |
Contents
| 1 | |
| 5 | |
Risk measures | 37 |
Standard portfolio optimization | 65 |
Static optimization | 67 |
Indexed funds and benchmarking | 103 |
Portfolio performance | 129 |
Dynamic portfolio optimization | 165 |
Structured portfolio management | 279 |
Portfolio insurance | 281 |
Optimal dynamic portfolio with risk limits | 319 |
Hedge funds | 351 |
Appendix A Arch Models | 373 |
Appendix B Stochastic Processes | 381 |
| 397 | |
Symbol Description | 431 |
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Common terms and phrases
asset class Assume assumptions axioms Bellman equation benchmark beta Brownian motion coefficient coherent risk measures concave condition Consider convex CPPI CPPI method deduce defined Denote differentiable dynamic E[RP efficient frontier equal equation example exists expected shortfall expected utility financial market fund manager Gaussian given hedge funds introduced investor Jensen measure linear lottery martingale maximization mean-variance minimization OBPI optimal payoff optimal portfolio optimal solution optimal weights optimization problem option parameter performance measures portfolio insurance portfolio management portfolio optimization portfolio profile portfolio return portfolio value portfolio weights probability distribution PROPOSITION random variables risk aversion risk measures riskless asset risky asset Rmin satisfies semimartingale Sharpe ratio spectral risk measures standard deviation stochastic dominance strategy tracking-error transaction costs Treynor ratio utility function variance vector volatility wealth
Popular passages
Page 1 - ... am using the term is that in which the prospect of a European war is uncertain, or the price of copper and the rate of interest twenty years hence, or the obsolescence of a new invention, or the position of private wealth owners in the social System in 1970. About these matters there is no scientific basis on which to form any calculable probability whatever. We simply do not know.
Page 1 - About these matters there is no scientific basis on which to form any calculable probability whatever. We simply do not know. Nevertheless, the necessity for action and for decision compels us as practical men to do our best to overlook this awkward fact and to behave exactly as we should if we had behind us a good Benthamite calculation of a series of prospective advantages and disadvantages, each multiplied by its appropriate probability, waiting to be summed.
Page ii - The inclusion of numerical code and concrete real-world examples is highly encouraged. Series Editors MAH Dempster Dilip B. Madan Rama Cont Centre for Financial Robert H. Smith School Center for Financial Research of Business Engineering Judge Business School University of Maryland Columbia University University of Cambridge New York Published Titles American-Style Derivatives; Valuation and Computation, Jerome Detemple Financial Modelling with Jump Processes, Rama Cont and Peter Tankov An Introduction...
Page 405 - M. (1994) Tracking Errors, Regret and Tactical Asset Allocation, Journal of Portfolio Management, Spring, 16-24.
Page 428 - Dynamic Asset Allocation and Fixed Income Management." Journal of Financial and Quantitative Analysis 34: 513-531. Vasicek, O. (1977) "An Equilibrium Characterization of the Term Structure.
Page 405 - Meilijson, 1., 1997. New tools to better model behavior under risk and uncertainty: an overview. Finance 18, 25-46.
Page 428 - Sortino, F., Van der Meer, R., and Plantinga, R. (1999) 'The Dutch Triangle', Journal of Portfolio Management, 26(1), 50-58. Sortino, F., and Price, LN (1994) 'Performance Measurement in a Downside Risk Framework', Journal of Investing, 3(3), 59-64.