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Author : Jeffrey Cheong Kee Lim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (596 download)
Download or read book Multi-period Mean-variance Option Portfolio Strategies written by Jeffrey Cheong Kee Lim and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
Author : Stephen Boyd
Publisher :
ISBN 13 : 9781680833287
Total Pages : 92 pages
Book Rating : 4.8/5 (332 download)
Download or read book Multi-Period Trading Via Convex Optimization written by Stephen Boyd and published by . This book was released on 2017-07-28 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.
Author : H. Gifford Fong
Publisher : World Scientific
ISBN 13 : 9812563776
Total Pages : 217 pages
Book Rating : 4.8/5 (125 download)
Download or read book The World of Hedge Funds written by H. Gifford Fong and published by World Scientific. This book was released on 2005 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: The World of Hedge Funds is a compendium of distinguished papers focusing on the cutting-edge analysis of hedge funds. This area is arguably the fastest growing source of funds in the investment management arena. It represents an exciting opportunity for the investor and manager in terms of the range of return and risk available. A source of rigorous analysis is therefore both sought after as well as needed. This book aims to fill this gap by presenting an eclectic collection of papers contributed by influential academics and practitioners covering the characteristics and problems of hedge funds.
Author : Heiko Siede
Publisher :
ISBN 13 :
Total Pages : 195 pages
Book Rating : 4.:/5 (522 download)
Download or read book Multi-period portfolio optimization written by Heiko Siede and published by . This book was released on 2000 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Erik Hjalmarsson
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.3/5 (121 download)
Download or read book Characteristic-based Mean-variance Portfolio Choice written by Erik Hjalmarsson and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study empirical mean-variance optimization when the portfolio weights are restricted to be direct functions of underlying stock characteristics such as value and momentum. The closed-form solution to the portfolio weights estimator shows that the portfolio problem in this case reduces to a mean-variance analysis of assets with returns given by single-characteristic strategies (e.g., momentum or value). In an empirical application to international stock return indexes, we show that the direct approach to estimating portfolio weights clearly beats a naive regression-based approach that models the conditional mean. However, a portfolio based on equal weights of the single-characteristic strategies performs about as well, and sometimes better, than the direct estimation approach, highlighting again the difficulties in beating the equal-weighted case in mean-variance analysis. The empirical results also highlight the potential for "stock-picking" in international indexes, using characteristics such as value and momentum, with the characteristic-based portfolios obtaining Sharpe ratios approximately three times larger than the world market.
Author : Ravi Bansal
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (253 download)
Download or read book Dynamic Trading Strategies and Portfolio Choice written by Ravi Bansal and published by . This book was released on 2004 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional mean-variance efficient portfolios do not capture the potential wealth creation opportunities provided by predictability of asset returns. We propose a simple method for constructing optimally managed portfolios that exploits the possibility that asset returns are predictable. We implement these portfolios in both single and multi-period horizon settings. We compare alternative portfolio strategies which include both buy-and-hold and fixed weight portfolios. We find that managed portfolios can significantly improve the mean-variance trade-off, in particular, for investors with investment horizons of three to five years. Also, in contrast to popular advice, we show that the buy-and-hold strategy should be avoided.
Author : Ravi Bansal
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book Dynamic Trading Strategies and Portfolio Choice written by Ravi Bansal and published by . This book was released on 2010 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional mean-variance efficient portfolios do not capture the potential wealth creation opportunities provided by predictability of asset returns. We propose a simple method for constructing optimally managed portfolios that exploits the possibility that asset returns are predictable. We implement these portfolios in both single and multi-period horizon settings. We compare alternative portfolio strategies which include both buy-and-hold and fixed weight portfolios. We find that managed portfolios can significantly improve the mean-variance trade-off, in particular, for investors with investment horizons of three to five years. Also, in contrast to popular advice, we show that the buy-and-hold strategy should be avoided.
Author : Harry M. Markowitz
Publisher : John Wiley & Sons
ISBN 13 : 9781883249755
Total Pages : 404 pages
Book Rating : 4.2/5 (497 download)
Download or read book Mean-Variance Analysis in Portfolio Choice and Capital Markets written by Harry M. Markowitz and published by John Wiley & Sons. This book was released on 2000-02-15 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
Author : Nikolai Dokuchaev
Publisher : Springer Science & Business Media
ISBN 13 : 1461509211
Total Pages : 213 pages
Book Rating : 4.4/5 (615 download)
Download or read book Dynamic Portfolio Strategies: quantitative methods and empirical rules for incomplete information written by Nikolai Dokuchaev and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information investigates optimal investment problems for stochastic financial market models. It is addressed to academics and students who are interested in the mathematics of finance, stochastic processes, and optimal control, and also to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis. While there are many works devoted to the solution of optimal investment problems for various models, the focus of this book is on analytical strategies based on "technical analysis" which are model-free. The technical analysis of these strategies has a number of characteristics. Two of the more important characteristics are: (1) they require only historical data, and (2) typically they are more widely used by traders than analysis based on stochastic models. Hence it is the objective of this book to reduce the gap between model-free strategies and strategies that are "optimal" for stochastic models. We hope that researchers, students and practitioners will be interested in some of the new empirically based methods of "technical analysis" strategies suggested in this book and evaluated via stochastic market models.
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 : 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:
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 : Robert J. Elliot
Publisher : World Scientific
ISBN 13 : 9814383309
Total Pages : 605 pages
Book Rating : 4.8/5 (143 download)
Download or read book Stochastic Processes, Finance and Control written by Robert J. Elliot and published by World Scientific. This book was released on 2012 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Leonard C Maclean
Publisher : World Scientific Publishing Company
ISBN 13 : 9814759368
Total Pages : 212 pages
Book Rating : 4.8/5 (147 download)
Download or read book Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making written by Leonard C Maclean and published by World Scientific Publishing Company. This book was released on 2016-09-29 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation. This material could be used with important books that cover these topics including MacLean-Ziemba's The Handbook of the Fundamentals of Financial Decision Making, and Ziemba-Vickson's Stochastic Optimization Models in Finance.
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 1119238145
Total Pages : 579 pages
Book Rating : 4.1/5 (192 download)
Download or read book Portfolio Construction and Analytics written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2016-03-23 with total page 579 pages. Available in PDF, EPUB and Kindle. Book excerpt: A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike. With complete and detailed coverage of portfolio analytics and modeling methods, this book is unique in its multi-disciplinary approach. Investment analytics involves the input of a variety of areas, and this guide provides the perspective of data management, modeling, software resources, and investment strategy to give you a truly comprehensive understanding of how today's firms approach the process. Real-world examples provide insight into analytics performed with vendor software, and references to analytics performed with open source software will prove useful to both students and practitioners. Portfolio analytics refers to all of the methods used to screen, model, track, and evaluate investments. Big data, regulatory change, and increasing risk is forcing a need for a more coherent approach to all aspects of investment analytics, and this book provides the strong foundation and critical skills you need. Master the fundamental modeling concepts and widely used analytics Learn the latest trends in risk metrics, modeling, and investment strategies Get up to speed on the vendor and open-source software most commonly used Gain a multi-angle perspective on portfolio analytics at today's firms Identifying investment opportunities, keeping portfolios aligned with investment objectives, and monitoring risk and performance are all major functions of an investment firm that relies heavily on analytics output. This reliance will only increase in the face of market changes and increased regulatory pressure, and practitioners need a deep understanding of the latest methods and models used to build a robust investment strategy. Portfolio Construction and Analytics is an invaluable resource for portfolio management in any capacity.
