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Author : Hua He
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (255 download)
Download or read book Efficient Consumption-portfolio Policies written by Hua He and published by . This book was released on 1991 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hua He
Publisher : Forgotten Books
ISBN 13 : 9781334017841
Total Pages : 48 pages
Book Rating : 4.0/5 (178 download)
Download or read book Consumption-Porfolio Policies written by Hua He and published by Forgotten Books. This book was released on 2016-10-20 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Consumption-Porfolio Policies: An Inverse Optimal Problem The inverse problem studied here can be viewed as a dynamic recoverability problem in financial markets with continuous trading; see Kurz (1969) and Chang (1988) for related problems. Our objective here is to recover an economic agent's preferences from the observed consumption-portfolio policy that has been specified for a given asset price process. Since our emphasis is in analyzing an individual's consumption-portfolio policy in a continuous time securities market environment, the inverse problem studied here and the solution method employed in this paper are very different from those of Kurz (1969) and Chang who study an inverse problem in the theory of optimal growth. Cox and Leland (1982) are the first to characterize efficient consumption-portfolio policies when the asset price follows a geometric Brownian motion; also see Black Our contribution in this paper lies in giving a characterization of the efficient consumption-portfolio policies when the asset price follows a general diffusion process. Since our characterization of efficient consumption portfolio policies is derived for a general specification of the price process, we can also use the same approach to answer a related question: Can a given consumption-portfolio policy be optimal for a given utility function and some diffusion price process or for some utility function and some diffusion price process? About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author : Hua He
Publisher : Palala Press
ISBN 13 : 9781379052272
Total Pages : 48 pages
Book Rating : 4.0/5 (522 download)
Download or read book Consumption-portfolio Policies written by Hua He and published by Palala Press. This book was released on 2018-03-02 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Hua He
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (243 download)
Download or read book Optimal Consumption-portfolio Policies written by Hua He and published by . This book was released on 1991 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Henri Pages
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (183 download)
Download or read book Optimal Consumption and Portfolio Policies when Markets are Incomplete written by Henri Pages and published by . This book was released on 1987 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chi-fu Huang
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (221 download)
Download or read book Optimal Consumption and Portfolio Policies with an Infinite Horizon written by Chi-fu Huang and published by . This book was released on 1990 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Henri Pags
Publisher : Palala Press
ISBN 13 : 9781342051141
Total Pages : 36 pages
Book Rating : 4.0/5 (511 download)
Download or read book Optimal Consumption and Portfolio Policies When Markets Are Incomplete written by Henri Pags and published by Palala Press. This book was released on 2015-09-09 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
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 : Karl Shell
Publisher :
ISBN 13 :
Total Pages : 548 pages
Book Rating : 4.0/5 (531 download)
Download or read book Journal of Economic Theory written by Karl Shell and published by . This book was released on 1994 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : HENRI. PAGES
Publisher :
ISBN 13 : 9781033553817
Total Pages : 0 pages
Book Rating : 4.5/5 (538 download)
Download or read book OPTIMAL CONSUMPTION AND PORTFOLIO POLICIES WHEN MARKETS ARE INCOMPLETE. written by HENRI. PAGES and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William Frank Rentz
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (733 download)
Download or read book Optimal Consumption and Portfolio Policies written by William Frank Rentz and published by . This book was released on 1974 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hua He
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (219 download)
Download or read book Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints written by Hua He and published by . This book was released on 1989 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markus Vollmer
Publisher : Springer
ISBN 13 : 3658066342
Total Pages : 134 pages
Book Rating : 4.6/5 (58 download)
Download or read book A Beta-return Efficient Portfolio Optimisation Following the CAPM written by Markus Vollmer and published by Springer. This book was released on 2014-07-17 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors are trying to generate excess returns through active investment strategies. Since the outbreak of the financial crisis, investors face a situation where increased risks are accompanied by falling key interest rates. An optimal portfolio in terms of risk and return becomes a perpetual motion machine. Markus Vollmer answers the question how the seemingly impossible could still be achieved by an empirical analysis of historical data of 1’800 stocks listed at equity markets in 24 countries covering all 19 super sectors. The author offers valid and reliable findings by using the previously mentioned data proxy. 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.
Author : Ioannis Karatzas
Publisher : Springer
ISBN 13 : 1493968459
Total Pages : 426 pages
Book Rating : 4.4/5 (939 download)
Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer. This book was released on 2017-01-10 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Author : Jonathan Treussard
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Life-Cycle Consumption Plans and Portfolio Policies in a Heath-Jarrow-Morton Economy written by Jonathan Treussard and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the methods of Detemple, Garcia, and Rindisbacher (2003, 2005) and derives explicit optimal lifetime consumption-portfolio plans in an economy whose fixed-income sector is characterized by an N-factor Heath-Jarrow-Morton (1992) model that is Markovian in 3N state variables.
Author : Hua He
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (23 download)
Download or read book Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints written by Hua He and published by . This book was released on 1989 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Steven Cohen
Publisher : John Wiley & Sons
ISBN 13 : 1118916379
Total Pages : 292 pages
Book Rating : 4.1/5 (189 download)
Download or read book Sustainability Policy written by Steven Cohen and published by John Wiley & Sons. This book was released on 2015-01-27 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to sustainability policy at the federal, state, and local levels Sustainability Policy: Hastening the Transition to a Cleaner Economy is a fundamental guide for public sector professionals new to sustainability policy development, implementation, strategy, and practice. Featuring detailed cases highlighting innovative sustainability initiatives, this book explores the elements that constitute effective policy, and the factors that can help or hinder implementation and adoption. Readers gain insight into policies in effect at the federal, state, and local levels, in the areas of water, energy, material use, and waste management, and the reasons why local policies are often the most innovative and successful. Discussion surrounding monitoring and measurement addresses the lack of standardization, as well as the government's critical role in leading the field toward generally accepted sustainability metrics, while outlining the reasons why certain policies are more feasible than others. This book is an introductory resource, written in non-technical language, and organized in a coherent manner that establishes foundational knowledge before introducing more complex issues. Even readers with little background in sustainability will gain insight into the current state of the field and the issues at hand. Understand sustainability in public and private enterprises, including the role of government and public policy Learn the current standing federal, state, and local policies surrounding sustainability Discover what makes an effective sustainability policy, including measurement and evaluation metrics Explore the politics and future of sustainability, and the barriers to change Sustainability is a hot topic in both the public and private sector, with vocal advocates on both sides of every issue, so developing effective policy is crucial. For public sector professionals entering the sustainability field, Introduction to Sustainability Policy & Management is a valuable resource.
