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Advanced Stochastic Models Risk Assessment And Portfolio Optimization
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Book Synopsis Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization by : Svetlozar T. Rachev
Download or read book Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization written by Svetlozar T. Rachev and published by Wiley. This book was released on 2008-05-16 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.
Book Synopsis Risk and Uncertainty by : Svetlozar T. Rachev
Download or read book Risk and Uncertainty written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2011-04-22 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement. Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.
Download or read book Optimal Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.
Book Synopsis Advanced REIT Portfolio Optimization by : W. Brent Lindquist
Download or read book Advanced REIT Portfolio Optimization written by W. Brent Lindquist and published by Springer Nature. This book was released on 2022-11-09 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.
Book Synopsis Stochastic Programming Models and Methods for Portfolio Optimization and Risk Management by : Rudabeh Meskarian
Download or read book Stochastic Programming Models and Methods for Portfolio Optimization and Risk Management written by Rudabeh Meskarian and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management by : Michele Leonardo Bianchi
Download or read book Handbook Of Heavy-tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and published by World Scientific. This book was released on 2019-03-08 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Book Synopsis Handbook of Portfolio Construction by : John B. Guerard, Jr.
Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
Book Synopsis Stochastic Optimization Models in Finance by : W. T. Ziemba
Download or read book Stochastic Optimization Models in Finance written by W. T. Ziemba and published by World Scientific. This book was released on 2006 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt: A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s). Chapter 1: Expected Utility Theory (373 KB). Contents: Mathematical Tools: Expected Utility Theory; Convexity and the Kuhn-Tucker Conditions; Dynamic Programming; Qualitative Economic Results: Stochastic Dominance; Measures of Risk Aversion; Separation Theorems; Static Portfolio Selection Models: Mean-Variance and Safety First Approaches and Their Extensions; Existence and Diversification of Optimal Portfolio Policies: Effects of Taxes on Risk Taking; Dynamic Models Reducible to Static Models: Models That Have a Single Decision Point; Risk Aversion over Time Implies Static Risk Aversion; Myopic Portfolio Policies; Dynamic Models: Two-Period Consumption Models and Portfolio Revision; Models of Optimal Capital Accumulation and Portfolio Selection; Models of Option Strategy; The Capital Growth Criterion and Continuous-Time Models. Readership: Postdoctoral and graduate students, researchers, academics, and professionals interested in portfolio theory and stochastic optimization.
Book Synopsis Achieving Investment Excellence by : Kees Koedijk
Download or read book Achieving Investment Excellence written by Kees Koedijk and published by John Wiley & Sons. This book was released on 2019-01-29 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Crucial methods, tactics and tools for successful pension fund management Achieving Investment Excellence offers trustees and asset managers a comprehensive handbook for improving the quality of their investments. With a stated goal of substantially and sustainably improving annual returns, this book clarifies and demystifies important concepts surrounding trustee duties and responsibilities, investment strategies, analysis, evaluation and much more. Low interest rates are making the high cost of future pension payouts fraught with tension, even as the time and knowledge required to manage these funds appropriately increases — it is no wonder that pensions are increasingly seen as a financial liability. Now more than ever, it is critical that trustees understand exactly what contributes to investment success — and what detracts from it. This book details the roles, the tools and the strategies that make pension funds pay off. Understand the role of pension funds and the fiduciary duty of trustees Learn the tools and kills you need to build profound and lasting investment excellence Analyse, diagnose and improve investment quality of funds using concrete tools and instruments Study illustrative examples that demonstrate critical implementation and execution advice Packed with expert insight, crucial tools and real-life examples, this book is an important resource for those tasked with governing these. Achieving Investment Excellence provides the expert insight, clear guidance and key wisdom you need to manage these funds successfully.
Book Synopsis Financial Advice and Investment Decisions by : Jarrod W. Wilcox
Download or read book Financial Advice and Investment Decisions written by Jarrod W. Wilcox and published by John Wiley & Sons. This book was released on 2013-11-20 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to adapting financial advice and investing to a post crisis world There's no room for "business as usual" in today's investment management environment. Following the recent financial crisis, both retail and institutional investors are searching for new ways to oversee investment portfolios. How do you combine growth with a focus on wealth preservation? This book offers you a fresh perspective on the changes in tools and strategies needed to effectively achieve this goal. Financial Advice and Investment Decisions provides today's investment professionals with the conceptual framework and practical tools they need to successfully invest in and manage an investment portfolio with wealth preservation as a key concern. While there are many qualitative discussions, the authors present strong quantitative theory and practice in the form of small conceptual models, simulation, and empirical research. A comprehensive guide to properly managing investments with a focus on matching security and growth goals with the needs of the investor Blends insights gleaned from portfolio management practices used prior to the market mayhem of 2007-2009 with cutting-edge academic and professional investment research Includes innovative and wide-ranging treatment of subjects such as augmented balance sheets, the efficiency of markets, saving, spending, and investing habits, and dealing with uncertainty Description of opportunities for improving the investing environment The recent financial crisis has opened our eyes to the need for improving the way we invest. This book will put you in a better position to excel in this new economic environment.
Book Synopsis Computational Science – ICCS 2009 by : Gabrielle Allen
Download or read book Computational Science – ICCS 2009 written by Gabrielle Allen and published by Springer. This book was released on 2009-05-21 with total page 940 pages. Available in PDF, EPUB and Kindle. Book excerpt: “There is something fascinating about science. One gets such wholesale returns of conjecture out of such a tri?ing investment of fact. ” Mark Twain, Life on the Mississippi The challenges in succeeding with computational science are numerous and deeply a?ect all disciplines. NSF’s 2006 Blue Ribbon Panel of Simulation-Based 1 Engineering Science (SBES) states ‘researchers and educators [agree]: com- tational and simulation engineering sciences are fundamental to the security and welfare of the United States. . . We must overcome di?culties inherent in multiscale modeling, the development of next-generation algorithms, and the design. . . of dynamic data-driven application systems. . . We must determine better ways to integrate data-intensive computing, visualization, and simulation. - portantly,wemustoverhauloureducationalsystemtofostertheinterdisciplinary study. . . The payo?sformeeting these challengesareprofound. ’The International Conference on Computational Science 2009 (ICCS 2009) explored how com- tational sciences are not only advancing the traditional hard science disciplines, but also stretching beyond, with applications in the arts, humanities, media and all aspects of research. This interdisciplinary conference drew academic and industry leaders from a variety of ?elds, including physics, astronomy, mat- matics,music,digitalmedia,biologyandengineering. Theconferencealsohosted computer and computational scientists who are designing and building the - ber infrastructure necessary for next-generation computing. Discussions focused on innovative ways to collaborate and how computational science is changing the future of research. ICCS 2009: ‘Compute. Discover. Innovate. ’ was hosted by the Center for Computation and Technology at Louisiana State University in Baton Rouge.
Book Synopsis Natural Gas: A Commercial Perspective by : Andrej Pustišek
Download or read book Natural Gas: A Commercial Perspective written by Andrej Pustišek and published by Springer. This book was released on 2017-03-21 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses and explains the economics of each stage of the natural gas value chain, including the economic impact of restrictions, rules and decisions that are ostensibly technical in nature, as well as commercially relevant contractual stipulations. Each chapter features several real-world examples illustrating the essential points. Natural gas is broadly considered the (leading) conventional source of primary energy. Complementing renewable energies’ utilization and offering a highly flexible yet relatively clean fuel, the worldwide natural gas markets are expected to grow. Despite the fact that Europe – where a degree of stagnation in natural gas consumption is being observed and is expected to continue – is not following this trend, international natural gas markets are becoming increasingly interdependent. Therefore, any analysis and discussion of natural gas markets at each level has to have an international rather than national focus.
Book Synopsis The Handbook of Traditional and Alternative Investment Vehicles by : Mark J. P. Anson
Download or read book The Handbook of Traditional and Alternative Investment Vehicles written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2010-12-03 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive volume that covers a complete array of traditional and alternative investment vehicles This practical guide provides a comprehensive overview of traditional and alternative investment vehicles for professional and individual investors hoping to gain a deeper understanding of the benefits and pitfalls of using these products. In it, expert authors Mark Anson, Frank Fabozzi, and Frank Jones clearly present the major principles and methods of investing and their risks and rewards. Along the way, they focus on providing you with the information needed to successfully invest using a host of different methods depending upon your needs and goals. Topics include equities, all types of fixed income securities, investment-oriented insurance products, mutual funds, closed-end funds, investment companies, exchange-traded funds, futures, options, hedge funds, private equity, and real estate Written by the expert author team of Mark Anson, Frank Fabozzi, and Frank Jones Includes valuable insights for everyone from finance professionals to individual investors Many finance books offer collections of expertise on one or two areas of finance, but The Handbook of Traditional and Alternative Investment Vehicles brings all of these topics together in one comprehensive volume.
Book Synopsis Practical Risk-Adjusted Performance Measurement by : Carl R. Bacon
Download or read book Practical Risk-Adjusted Performance Measurement written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2021-10-18 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explore different measures of ex-post risk-adjusted performance measurement and learn to choose the correct one In the newly revised Second Edition of Practical Risk-Adjusted Performance Measurement, accomplished risk and investment expert Carl R. Bacon delivers an insightful, accessible, and real-world guide to ex-post risk measurement. The author bridges the gap between theory and practice, showing you how to apply the former to the latter without introducing unnecessary mathematical complexity. The book describes the fundamentals of risk in the asset management context and the descriptive statistics used to describe it. It builds on that foundation with detailed examinations of concepts like regression, drawdown, and partial moments, before moving on to topics like fixed income risk and Prospect Theory. With helpful additions that include recently developed measures of risk, supplementary explanatory sections, and six brand-new chapters, this book also offers: A practical classification of all ex-post risk measures and how they connect to one another An explanation of how risk-adjusted performance measures impact performance fees A discussion of risk measure dashboard designs Instructions on how appraisal measures should be used for manager selection Perfect for portfolio managers, asset owners, risk controllers, and investment performance analysts, Practical Risk-Adjusted Performance Measurement is an indispensable resource for anyone looking for a hands-on exploration of the buy-side, asset management perspective.
Book Synopsis Stochastic Modeling in Economics and Finance by : Jitka Dupacova
Download or read book Stochastic Modeling in Economics and Finance written by Jitka Dupacova and published by Springer Science & Business Media. This book was released on 2002-08-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike other books that focus only on selected specific subjects this book provides both a broad and rich cross-section of contemporary approaches to stochastic modeling in finance and economics; it is decision making oriented. The material ranges from common tools to solutions of sophisticated system problems and applications. In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study. Selected examples of successful applications in finance, production planning and management of technological processes and electricity generation are presented. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories. In Part IV, the sections devoted to stochastic calculus cover also more advanced topics such as DDS Theorem or extremal martingale measures, which make it possible to treat more delicate models in Mathematical Finance (complete markets, optimal control, etc.) Audience: Students and researchers in probability and statistics, econometrics, operations research and various fields of finance, economics, engineering, and insurance.
Book Synopsis Milton Friedman & Economic Debate in the United States, 1932–1972: Volume 1 by : Edward Nelson
Download or read book Milton Friedman & Economic Debate in the United States, 1932–1972: Volume 1 written by Edward Nelson and published by University of Chicago Press. This book was released on 2020-11-06 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: First in a two-volume study of Friedman’s long career: “No previous biographer has Nelson’s deep and sophisticated understanding of monetary economics.” —Economic History This study is the first to distill Nobel Prize winner Milton Friedman’s vast body of writings into an authoritative account of his research, his policy views, and his interventions in public debate. With this ambitious new work, Edward Nelson closes the gap: Milton Friedman and Economic Debate in the United States is the defining narrative on the famed economist, the first to grapple comprehensively with Friedman’s research output, economic framework, and legacy. This two-volume account provides a foundational introduction to Friedman’s role in several major economic debates that took place in the United States between 1932 and 1972. This first volume in the two-volume account takes the story through 1960, covering the period in which Friedman began and developed his research on monetary policy. It traces Friedman’s thinking from his professional beginnings in the 1930s as a combative young microeconomist, to his wartime years on the staff of the US Treasury, and his emergence in the postwar period as a leading proponent of monetary policy. As a fellow monetary economist, Nelson writes from a unique vantage point, drawing on both his own expertise in monetary analysis and his deep familiarity with Friedman’s writings. Using extensive documentation, the book weaves together Friedman’s research contributions and his engagement in public debate, providing an unparalleled analysis of Friedman’s views on the economic developments of his day. “Magisterial . . . For anyone wanting to understand the ideas that Friedman generated over his research career, this book is, and will remain for some time, the essential guide.” —Financial World
Author :Management Association, Information Resources Publisher :IGI Global ISBN 13 :1799853403 Total Pages :2700 pages Book Rating :4.7/5 (998 download)
Book Synopsis Research Anthology on Architectures, Frameworks, and Integration Strategies for Distributed and Cloud Computing by : Management Association, Information Resources
Download or read book Research Anthology on Architectures, Frameworks, and Integration Strategies for Distributed and Cloud Computing written by Management Association, Information Resources and published by IGI Global. This book was released on 2021-01-25 with total page 2700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Distributed systems intertwine with our everyday lives. The benefits and current shortcomings of the underpinning technologies are experienced by a wide range of people and their smart devices. With the rise of large-scale IoT and similar distributed systems, cloud bursting technologies, and partial outsourcing solutions, private entities are encouraged to increase their efficiency and offer unparalleled availability and reliability to their users. The Research Anthology on Architectures, Frameworks, and Integration Strategies for Distributed and Cloud Computing is a vital reference source that provides valuable insight into current and emergent research occurring within the field of distributed computing. It also presents architectures and service frameworks to achieve highly integrated distributed systems and solutions to integration and efficient management challenges faced by current and future distributed systems. Highlighting a range of topics such as data sharing, wireless sensor networks, and scalability, this multi-volume book is ideally designed for system administrators, integrators, designers, developers, researchers, academicians, and students.
