Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download A Geometric Approach To Multiperiod Mean Variance Optimization Of Assets And Liabilities full books in PDF, epub, and Kindle. Read online A Geometric Approach To Multiperiod Mean Variance Optimization Of Assets And Liabilities ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Markus Leippold
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (248 download)
Download or read book A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities written by Markus Leippold and published by . This book was released on 2002 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a geometric approach to discrete time multiperiod mean variance portfolio optimization that largely simplifies the mathematical analysis and the economic interpretation of such model settings. We show that multiperiod mean variance optimal policies can be decomposed in an orthogonal set of basis strategies, each having a clear economic interpretation. This implies that the corresponding multi period mean variance frontiers are spanned by an orthogonal basis of dynamic returns. Specifically, in a k-period model the optimal strategy is a linear combination of a single k-period global minimum second moment strategy and a sequence of k local excess return strategies which expose the dynamic portfolio optimally to each single-period asset excess return. This decomposition is a multi period version of Hansen and Richard (1987) orthogonal representation of single-period mean variance frontiers and naturally extends the basic economic intuition of the static Markowitz model to the multiperiod context. Using the geometric approach to dynamic mean variance optimization we obtain closed form solutions in the i.i.d. setting for portfolios consisting of both assets and liabilities (AL), each modelled by a distinct state variable. As a special case, the solution of the mean variance problem for the asset only case in Li and Ng (2000) follows directly and can be represented in terms of simple products of some single period orthogonal returns. We illustrate the usefulness of our geometric representation of multi-periods optimal policies and mean variance frontiers by discussing specific issued related to AL portfolios: The impact of taking liabilities into account on the implied mean variance frontiers, the quantification of the impact of the investment horizon and the determination of the optimal initial funding ratio.
Author : Markus Leippold
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities written by Markus Leippold and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tsan-Ming Choi
Publisher : Springer
ISBN 13 : 3319535188
Total Pages : 281 pages
Book Rating : 4.3/5 (195 download)
Download or read book Optimization and Control for Systems in the Big-Data Era written by Tsan-Ming Choi and published by Springer. This book was released on 2017-05-04 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on optimal control and systems engineering in the big data era. It examines the scientific innovations in optimization, control and resilience management that can be applied to further success. In both business operations and engineering applications, there are huge amounts of data that can overwhelm computing resources of large-scale systems. This “big data” provides new opportunities to improve decision making and addresses risk for individuals as well in organizations. While utilizing data smartly can enhance decision making, how to use and incorporate data into the decision making framework remains a challenging topic. Ultimately the chapters in this book present new models and frameworks to help overcome this obstacle. Optimization and Control for Systems in the Big-Data Era: Theory and Applications is divided into five parts. Part I offers reviews on optimization and control theories, and Part II examines the optimization and control applications. Part III provides novel insights and new findings in the area of financial optimization analysis. The chapters in Part IV deal with operations analysis, covering flow-shop operations and quick response systems. The book concludes with final remarks and a look to the future of big data related optimization and control problems.
Author : Marco Corazza
Publisher : Springer
ISBN 13 : 3319502344
Total Pages : 170 pages
Book Rating : 4.3/5 (195 download)
Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer. This book was released on 2017-12-28 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume gathers selected peer-reviewed papers presented at the international conference "MAF 2016 – Mathematical and Statistical Methods for Actuarial Sciences and Finance”, held in Paris (France) at the Université Paris-Dauphine from March 30 to April 1, 2016. The contributions highlight new ideas on mathematical and statistical methods in actuarial sciences and finance. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field, one that yields unique theoretical models and practical applications, as well as new insights in the discussion of problems of national and international interest. This volume is addressed to academicians, researchers, Ph.D. students and professionals.
Author : Masanobu Taniguchi
Publisher : CRC Press
ISBN 13 : 1351643622
Total Pages : 455 pages
Book Rating : 4.3/5 (516 download)
Download or read book Statistical Portfolio Estimation written by Masanobu Taniguchi and published by CRC Press. This book was released on 2017-09-01 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced, including non-Gaussian stationary processes, nonlinear processes, non-stationary processes, and the book provides a framework for statistical inference using local asymptotic normality (LAN). The approach is generalized for portfolio estimation, so that many important problems can be covered. This book can primarily be used as a reference by researchers from statistics, mathematics, finance, econometrics, and genomics. It can also be used as a textbook by senior undergraduate and graduate students in these fields.
Author : Erik Bølviken
Publisher : Cambridge University Press
ISBN 13 : 0521830486
Total Pages : 713 pages
Book Rating : 4.5/5 (218 download)
Download or read book Computation and Modelling in Insurance and Finance written by Erik Bølviken and published by Cambridge University Press. This book was released on 2014-04-10 with total page 713 pages. Available in PDF, EPUB and Kindle. Book excerpt: This practical introduction outlines methods for analysing actuarial and financial risk at a fairly elementary mathematical level suitable for graduate students, actuaries and other analysts in the industry who could use simulation as a problem solver. Numerous exercises with R-code illustrate the text.
Author : David Jin
Publisher : Springer Science & Business Media
ISBN 13 : 3642259863
Total Pages : 681 pages
Book Rating : 4.6/5 (422 download)
Download or read book Advances in Multimedia, Software Engineering and Computing Vol.2 written by David Jin and published by Springer Science & Business Media. This book was released on 2011-11-23 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: MSEC2011 is an integrated conference concentrating its focus upon Multimedia, Software Engineering, Computing and Education. In the proceeding, you can learn much more knowledge about Multimedia, Software Engineering ,Computing and Education of researchers all around the world. The main role of the proceeding is to be used as an exchange pillar for researchers who are working in the mentioned field. In order to meet high standard of Springer, AISC series ,the organization committee has made their efforts to do the following things. Firstly, poor quality paper has been refused after reviewing course by anonymous referee experts. Secondly, periodically review meetings have been held around the reviewers about five times for exchanging reviewing suggestions. Finally, the conference organization had several preliminary sessions before the conference. Through efforts of different people and departments, the conference will be successful and fruitful.
Author : Nicolas Chapados
Publisher : Springer Science & Business Media
ISBN 13 : 1461405777
Total Pages : 107 pages
Book Rating : 4.4/5 (614 download)
Download or read book Portfolio Choice Problems written by Nicolas Chapados and published by Springer Science & Business Media. This book was released on 2011-07-12 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.
Author :
Publisher :
ISBN 13 :
Total Pages : 486 pages
Book Rating : 4.E/5 ( download)
Download or read book The Journal of Computational Finance written by and published by . This book was released on 2008 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 420 pages
Book Rating : 4.3/5 (91 download)
Download or read book Mathematical Reports written by and published by . This book was released on 2007 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Richard O. Michaud
Publisher : Oxford University Press
ISBN 13 : 0199887195
Total Pages : 207 pages
Book Rating : 4.1/5 (998 download)
Download or read book Efficient Asset Management written by Richard O. Michaud and published by Oxford University Press. This book was released on 2008-03-03 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.
Author :
Publisher :
ISBN 13 :
Total Pages : 840 pages
Book Rating : 4.3/5 (91 download)
Download or read book Finance India written by and published by . This book was released on 2004-07 with total page 840 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bernd Heidergott
Publisher : Princeton University Press
ISBN 13 : 1400865239
Total Pages : 226 pages
Book Rating : 4.4/5 (8 download)
Download or read book Max Plus at Work written by Bernd Heidergott and published by Princeton University Press. This book was released on 2014-09-08 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trains pull into a railroad station and must wait for each other before leaving again in order to let passengers change trains. How do mathematicians then calculate a railroad timetable that accurately reflects their comings and goings? One approach is to use max-plus algebra, a framework used to model Discrete Event Systems, which are well suited to describe the ordering and timing of events. This is the first textbook on max-plus algebra, providing a concise and self-contained introduction to the topic. Applications of max-plus algebra abound in the world around us. Traffic systems, computer communication systems, production lines, and flows in networks are all based on discrete even systems, and thus can be conveniently described and analyzed by means of max-plus algebra. The book consists of an introduction and thirteen chapters in three parts. Part One explores the introduction of max-plus algebra and of system descriptions based upon it. Part Two deals with a real application, namely the design of timetables for railway networks. Part Three examines various extensions, such as stochastic systems and min-max-plus systems. The text is suitable for last-year undergraduates in mathematics, and each chapter provides exercises, notes, and a reference section.
Author : Stavros A. Zenios
Publisher : Elsevier
ISBN 13 : 0080478204
Total Pages : 509 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2006-07-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well.*Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope
Author : Renata Mansini
Publisher : Springer
ISBN 13 : 3319184822
Total Pages : 131 pages
Book Rating : 4.3/5 (191 download)
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Author : Nils Hemming Hakansson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (39 download)
Download or read book Multi-period Mean-variance Analysis written by Nils Hemming Hakansson and published by . This book was released on 1970 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
