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Multi Moments Method For Portfolio Management
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Book Synopsis Multi-moment Asset Allocation and Pricing Models by : Emmanuel Jurczenko
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Book Synopsis Advances in Investment Analysis and Portfolio Management by : Cheng-Few Lee
Download or read book Advances in Investment Analysis and Portfolio Management written by Cheng-Few Lee and published by Elsevier. This book was released on 2001-02-02 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: - Desarrolla una metodología que permite compaginar la adquisición de los objetivos y el trabajo en competencias básicas. - Asume un compromiso con la educación en valores que se refleja en el tratamiento de los contenidos, de la ilustración y de las propuestas de trabajo. - Otorga un papel destacado a las nuevas tecnologías. - Favorece la adecuación de la exposición y la profundidad de los contenidos con el grado de maduración del alumnado. - Confiere a las ilustraciones un papel didáctico de primer orden. - Proporciona una rica oferta en actividades, tanto en el plano cuantitativo como en el cualitativo. - Ofrece materiales que fomentan la autoevaluación del alumnado.
Book Synopsis Modern Asset Allocation for Wealth Management by : David M. Berns
Download or read book Modern Asset Allocation for Wealth Management written by David M. Berns and published by John Wiley & Sons. This book was released on 2020-06-03 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative resource for the wealth management industry that bridges the gap between modern perspectives on asset allocation and practical implementation An advanced yet practical dive into the world of asset allocation, Modern Asset Allocation for Wealth Management provides the knowledge financial advisors and their robo-advisor counterparts need to reclaim ownership of the asset allocation component of their fiduciary responsibility. Wealth management practitioners are commonly taught the traditional mean-variance approach in CFA and similar curricula, a method with increasingly limited applicability given the evolution of investment products and our understanding of real-world client preferences. Additionally, financial advisors and researchers typically receive little to no training on how to implement a robust asset allocation framework, a conceptually simple yet practically very challenging task. This timely book offers professional wealth managers and researchers an up-to-date and implementable toolset for managing client portfolios. The information presented in this book far exceeds the basic models and heuristics most commonly used today, presenting advances in asset allocation that have been isolated to academic and institutional portfolio management settings until now, while simultaneously providing a clear framework that advisors can immediately deploy. This rigorous manuscript covers all aspects of creating client portfolios: setting client risk preferences, deciding which assets to include in the portfolio mix, forecasting future asset performance, and running an optimization to set a final allocation. An important resource for all wealth management fiduciaries, this book enables readers to: Implement a rigorous yet streamlined asset allocation framework that they can stand behind with conviction Deploy both neo-classical and behavioral elements of client preferences to more accurately establish a client risk profile Incorporate client financial goals into the asset allocation process systematically and precisely with a simple balance sheet model Create a systematic framework for justifying which assets should be included in client portfolios Build capital market assumptions from historical data via a statistically sound and intuitive process Run optimization methods that respect complex client preferences and real-world asset characteristics Modern Asset Allocation for Wealth Management is ideal for practicing financial advisors and researchers in both traditional and robo-advisor settings, as well as advanced undergraduate and graduate courses on asset allocation.
Book Synopsis New Approaches and Tendencies in Entrepreneurial Management by : Alexandru Costin Cîrstea
Download or read book New Approaches and Tendencies in Entrepreneurial Management written by Alexandru Costin Cîrstea and published by Cambridge Scholars Publishing. This book was released on 2017-06-23 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a set of innovative approaches to international management theory and practice. It disseminates the most important results of scientific research in the organisation management field to professors, management consultants, researchers and managers at an international level. It is structured in four sections, covering the main areas of interest in management: management of change, innovation and quality; knowledge management and intellectual capital; entrepreneurship, SMEs and social enterprises; and university governance and management. The book is aimed at management experts who aspire to use the latest methods, techniques and practices of organisational leadership, as well as students and others who are interested in the promotion and implementation of best practices in entrepreneurial management.
Author :Jørgen Vitting Andersen Publisher :Springer Science & Business Media ISBN 13 :3642419445 Total Pages :194 pages Book Rating :4.6/5 (424 download)
Book Synopsis An Introduction to Socio-Finance by : Jørgen Vitting Andersen
Download or read book An Introduction to Socio-Finance written by Jørgen Vitting Andersen and published by Springer Science & Business Media. This book was released on 2013-12-11 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introductory text is devoted to exposing the underlying nature of price formation in financial markets as a predominantly sociological phenomenon that relates individual decision-making to emergent and co-evolving social and financial structures. Two different levels of this sociological influence are considered: First, we examine how price formation results from the social dynamics of interacting individuals, where interaction occurs either through the price or by direct communication. Then the same processes are revisited and examined at the level of larger groups of individuals. In this book, models of both levels of socio-finance are presented, and it is shown, in particular, how complexity theory provides the conceptual and methodological tools needed to understand and describe such phenomena. Accordingly, readers are first given a broad introduction to the standard economic theory of rational financial markets and will come to understand its shortcomings with the help of concrete examples. Complexity theory is then introduced in order to properly account for behavioral decision-making and match the observed market dynamics. This book is conceived as a primer for newcomers to the field, as well as for practitioners seeking new insights into the field of complexity science applied to socio-economic systems in general, and financial markets and price formation in particular.
Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Book Synopsis Extreme Financial Risks by : Yannick Malevergne
Download or read book Extreme Financial Risks written by Yannick Malevergne and published by Springer Science & Business Media. This book was released on 2006-01-16 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
Book Synopsis Practical Portfolio Performance Measurement and Attribution by : Carl R. Bacon
Download or read book Practical Portfolio Performance Measurement and Attribution written by Carl R. Bacon and published by John Wiley & Sons. This book was released on 2023-01-18 with total page 569 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practitioner's guide to the role and implications of performance measurement and attribution analysis in asset management firms Practical Portfolio Performance Measurement and Attribution is a comprehensive reference and guide to the use and calculation of performance returns in the investment decision process. Focusing on real-world application rather than academic theory, this highly practical book helps asset managers and investors determine return on assets, analyse portfolio behaviour and improve performance. Author Carl R. Bacon clearly describes each of the methodologies used by performance analysts in today's financial environment whilst sharing valuable insights drawn from his experience as a Director of Performance Measurement & Risk Control. The third edition is revised to reflect recent developments in performance attribution and presentation standards. Fully up-to-date chapters cover the entire performance measurement process, including return calculations, attribution methodologies, risk measures, manager selection and presentation of performance information. Written by an acknowledged leader in global investment performance standards, performance attribution technique and risk measurement Aligns with the publication of the 2020 Global Investment Performance Standards (GIPS®) Explains the mathematical aspects of performance measurement and attribution in a clear, easy-to-understand manner Provides numerous practical and worked examples of attribution analysis and risk calculations supported by Excel spreadsheets Includes signposts for the future development of performance measurement Practical Portfolio Performance Measurement and Attribution, Third Edition, remains a must-have for performance analysts and risk controllers, portfolio managers, compliance professionals and all asset managers, owners, consultants and servicing firms.
Book Synopsis Forecasting Financial Markets in India by : Rudra Prakash Pradhan
Download or read book Forecasting Financial Markets in India written by Rudra Prakash Pradhan and published by Allied Publishers. This book was released on 2009 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Papers presented at the Forecasting Financial Markets in India, held at Kharagpur during 29-31 December 2008.
Book Synopsis Robust Portfolio Optimization and Management by : Frank J. Fabozzi
Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-06-04 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University
Book Synopsis Multi-Asset Investing by : Yoram Lustig
Download or read book Multi-Asset Investing written by Yoram Lustig and published by Harriman House Limited. This book was released on 2013-01-07 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: Planning, constructing and managing a multi-asset portfolio A multi-asset investment management approach provides diversification benefits, enhances risk-adjusted returns and enables a portfolio to be tailored to a wide range of investing objectives, whether these are generating returns or income, or matching liabilities. This book is divided into four parts that follow the four stages of the multi-asset investment management process: 1. Establishing objectives: Defining the return objectives, risk objectives and investment constraints of a portfolio. 2. Setting an investment strategy: Setting a plan to achieve investment objectives by thinking about long-term strategic asset allocation, combining asset classes and optimisation to derive the most efficient asset allocation. 3. Implementing a solution: Turning the investment strategy into a portfolio using short-term tactical asset allocation, investment selection and risk management. This section includes examples of investment strategies. 4. Reviewing: Evaluating the performance of a portfolio by examining results, risk, portfolio positioning and the economic environment. By dividing the multi-asset investment process into these well-defined stages, Yoram Lustig guides the reader through the various decisions that have to be made and actions that have to be taken. He builds carefully from defining investment objectives, formulating an investment strategy and the steps of selecting investments, leading to constructing and managing multi-asset portfolios. At each stage the considerations and strategies to be undertaken are detailed, and the description of the process is supported with relevant financial theory as well as practical, real-life examples. 'Multi-asset Investing' is an essential handbook for the modern approach to investment portfolio management.
Book Synopsis Portfolio Management by : Scott D. Stewart
Download or read book Portfolio Management written by Scott D. Stewart and published by John Wiley & Sons. This book was released on 2019-03-26 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: A career’s worth of portfolio management knowledge in one thorough, efficient guide Portfolio Management is an authoritative guide for those who wish to manage money professionally. This invaluable resource presents effective portfolio management practices supported by their underlying theory, providing the tools and instruction required to meet investor objectives and deliver superior performance. Highlighting a practitioner’s view of portfolio management, this guide offers real-world perspective on investment processes, portfolio decision making, and the business of managing money for real clients. Real world examples and detailed test cases—supported by sophisticated Excel templates and true client situations—illustrate real investment scenarios and provide insight into the factors separating success from failure. The book is an ideal textbook for courses in advanced investments, portfolio management or applied capital markets finance. It is also a useful tool for practitioners who seek hands-on learning of advanced portfolio techniques. Managing other people’s money is a challenging and ever-evolving business. Investment professionals must keep pace with the current market environment to effectively manage their client’s assets while students require a foundation built on the most relevant, up-to-date information and techniques. This invaluable resource allows readers to: Learn and apply advanced multi-period portfolio methods to all major asset classes. Design, test, and implement investment processes. Win and keep client mandates. Grasp the theoretical foundations of major investment tools Teaching and learning aids include: Easy-to-use Excel templates with immediately accessible tools. Accessible PowerPoint slides, sample exam and quiz questions and sample syllabi Video lectures Proliferation of mathematics in economics, growing sophistication of investors, and rising competition in the industry requires advanced training of investment professionals. Portfolio Management provides expert guidance to this increasingly complex field, covering the important advancements in theory and intricacies of practice.
Book Synopsis Understanding Investment Funds by : V. Terraza
Download or read book Understanding Investment Funds written by V. Terraza and published by Springer. This book was released on 2013-05-20 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: In light of recent financial crises, the role of investment funds is a recurring subject for discussion. Traditional methods must be adapted with the objective to strengthen scientific knowledge of investment funds. This book provides new insights, ideas and empirical evidence to improve tools and methods for fund performance analysis.
Book Synopsis Multiple Criteria Decision Making in Finance, Insurance and Investment by : Minwir Al-Shammari
Download or read book Multiple Criteria Decision Making in Finance, Insurance and Investment written by Minwir Al-Shammari and published by Springer. This book was released on 2015-10-07 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to recent developments and applications of multiple criteria decision aid tools in the field of finance, insurance and investment. It illustrates recent methods and procedures designed to solve problems related to finance, insurance and portfolio selection formulated through a mathematical programming framework and for which a large number of conflicting and incommensurable objectives (criteria, attributes) is simultaneously optimized. The book introduces researchers and practitioners to recent theoretical and methodological developments in multi-attributes portfolio selection, multiple criteria analysis in finance, insurance and investment. It is based on selected and invited papers presented and discussed at the 2013 International Conference on Multidimensional Finance, Insurance and Investment (ICMFII’13), held at the College of Business Administration at the University of Bahrain from 25th to 27th November 2013 with the co-sponsorship of the International Society on Multiple Criteria Decision Making and the Institute for Operations Research and the Management Sciences - MCDM section.
Book Synopsis The Hedge Fund Compliance and Risk Management Guide by : Armelle Guizot
Download or read book The Hedge Fund Compliance and Risk Management Guide written by Armelle Guizot and published by John Wiley & Sons. This book was released on 2006-10-25 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Hedge Fund Compliance and Risk Management Guide provides you with a broad examination of the most important compliance and risk management issues associated with today’s hedge funds. Straightforward and accessible, this invaluable resource covers everything from how hedge funds continue to generate lucrative returns to why some use sophisticated instruments and financial engineering to get around fundamental regulatory laws.
Book Synopsis Event Portfolio Management by : Vladimir Antchak
Download or read book Event Portfolio Management written by Vladimir Antchak and published by Goodfellow Publishers Ltd. This book was released on 2019-09-01 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: A concise introduction to portfolio theory and methods for use in event management and event tourism. Divided into 2 parts of ‘Theory’ and ‘Practice’ it explains why it is important in event studies and management, and then shows how related methods can be used and adapted using real world international case studies.
Book Synopsis Market Risk Analysis, Quantitative Methods in Finance by : Carol Alexander
Download or read book Market Risk Analysis, Quantitative Methods in Finance written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and of correlated Student t variables; Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula; Cubic spline fitting of yields curves and implied volatilities; Solution of Markowitz problem with no short sales and other constraints; Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.
