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Author : Vladimir Cherny
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book On Portfolio Optimisation Under Drawdown and Floor Type Constraints written by Vladimir Cherny and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : University of Minnesota. Institute for Mathematics and Its Applications
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (123 download)
Download or read book On Portfolio Optimization Under "drawdown" Constraints written by University of Minnesota. Institute for Mathematics and Its Applications and published by . This book was released on 1994 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexei Valerievich Chekhlov
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (15 download)
Download or read book Portfolio Optimization with Drawdown Constraints written by Alexei Valerievich Chekhlov and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Guangliang He
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Drawdown Controlled Optimal Portfolio Selection with Linear Constraints on Portfolio Weights written by Guangliang He and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We solve the problem of constructing an optimal portfolio consisting of many risky assets to maximize the long-term growth rate of a representative agent's expected utility, subject to a set of general linear constraints on the portfolio weight vector as well as a constraint to prevent wealth drawdowns below a dynamic floor. The dynamic floor is defined as the time-decayed historical all-time high. Our results generalize those achieved by earlier authors, including Grossman and Zhou (1993) and Cvitannic and Karatzas (1994). Grossman and Zhou solved a special case of our problem by focusing on a single risky asset without portfolio weight constraints. Cvitanic and Karatzas solved a problem involving many risky assets but that ignored portfolio weight constraints and the time decay on the dynamic floor. To illustrate the usefulness of our method, we present several numerical examples based on both actual and simulated (Monte Carlo) returns. Finally, we suggest applications of our results to various practical investment management problems, including the management of hedge fund portfolios and 'principal-protected' investment strategies.
Author : Alexei Valerievich Chekhlov
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (15 download)
Download or read book Portfolio Optimization with Drawdown Constraints written by Alexei Valerievich Chekhlov and published by . This book was released on 2000 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marcus Davidsson
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (13 download)
Download or read book Drawdown Constraints and Portfolio Optimization written by Marcus Davidsson and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown constraints are indeed linear and can be used to find for example maximum risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer intensive Monte Carlo methods.
Author :
Publisher : Rmetrics
ISBN 13 :
Total Pages : 455 pages
Book Rating : 4./5 ( download)
Download or read book Portfolio Optimization with R/Rmetrics written by and published by Rmetrics. This book was released on with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0470164891
Total Pages : 513 pages
Book Rating : 4.4/5 (71 download)
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 2007-04-27 with total page 513 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
Author : Maxime Bonelli
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio Management with Drawdown Constraint written by Maxime Bonelli and published by . This book was released on 2017 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze optimal investment strategies under the drawdown constraint that the wealth process never falls below a fixed fraction of its running maximum. We derive optimal allocation programs by solving numerically the Hamilton-Jacobi-Bellman equation that characterizes the finite horizon expected utility maximization problem, for investors with power utility as well as S-shaped utility. Using stochastic simulations, we find that, according to utility maximization, implementing the drawdown constraint can be gainful in optimal portfolios for the power utility, for some market configurations and investment horizons. However, our study reveals that the optimal strategy with drawdown constraint is not the preferred investment for the S-shaped utility investor, who rather prefers the equivalent optimal strategy without constraint. Indeed, the latter investment being similar to a partial portfolio insurance, the additional drawdown constraint does not appear valuable for this investor in optimal portfolios.
Author : Jean-Luc Prigent
Publisher : Chapman and Hall/CRC
ISBN 13 :
Total Pages : 464 pages
Book Rating : 4.F/5 ( download)
Download or read book Portfolio Optimization and Performance Analysis written by Jean-Luc Prigent and published by Chapman and Hall/CRC. This book was released on 2007-05-07 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covering both static and dynamic portfolio optimisation, this title contains an overview of active and passive portfolio optimisation. With modern risk analysis, it summarises results of portfolio optimisation and shows how theoretical results can be applied to practical and operational portfolio management and optimisation.
Author : Bernd Scherer
Publisher : Springer Science & Business Media
ISBN 13 : 9780387210162
Total Pages : 442 pages
Book Rating : 4.2/5 (11 download)
Download or read book Modern Portfolio Optimization with NuOPT™, S-PLUS®, and S+Bayes™ written by Bernd Scherer and published by Springer Science & Business Media. This book was released on 2005-05-03 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio optimization and construction methodologies have become an critical ingredient of asset and fund management, while at same time portfolio risk assesment has become an essential ingredient in risk management.
Author : Kevin Riedmüller
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book Portfolio Optimization Under Risk Constraints written by Kevin Riedmüller and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ankush Agarwal
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio written by Ankush Agarwal and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local stochastic volatility (LSV). In the absence of closed-form formulas for the value function and optimal portfolio strategy, we obtain approximations for these quantities through the use of a coefficient expansion technique and nonlinear transformations. We utilize regularity properties of the risk tolerance function to numerically compute the estimates for our approximations. In order to achieve similar value functions, we illustrate that, compared to a constant volatility model, the investor must deploy a quite different portfolio strategy which depends on the current level of volatility in the stochastic volatility model.
Author : Martin L. Leibowitz
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (17 download)
Download or read book Portfolio Optimization Under Shortfall Constraints written by Martin L. Leibowitz and published by . This book was released on 1987 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Isabelle G. Bajeux-Besnainou
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)
Download or read book Portfolio Optimization Under Tracking Error and Weights Constraints written by Isabelle G. Bajeux-Besnainou and published by . This book was released on 2007 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Active portfolio manager performances are commonly assessed against a benchmark. In this case, his/her performance is often measured by the Information Ratio, the maximization of which is equivalent to the maximization of an expected return under a tracking error constraint. In addition, asset managers often deal with weights constraints (for instance, no more than 10% in equity). These constraints are regulatory or inherent to the fund's policy. We consider a fund manager complying simultaneously with a tracking error (computed for instance, vis-a-vis a bond index) and a weights constraints. These two constraints are not necessarily redundant even when the benchmark complies with the weights constraint. We show, theoretically and through numerical examples that the weights and the tracking error constraints can be simultaneously binding, we consider both equality and inequality weights constraints, derive the analytical and geometrical solutions in both cases and provide financial interpretations based on funds separation. We compute the loss in the Information Ratio due to a weights constraint and analyze the implications on asset allocation and performance measures. In particular, due to the weights constraint, the asset manager may operate under a smaller Information Ratio when free to deviate more from the benchmark (higher Tracking Error). This result undermines the coherence of the Information Ratio as a measure of the ability of asset managers.
Author : A. Bensoussan
Publisher : IOS Press
ISBN 13 : 161499238X
Total Pages : 296 pages
Book Rating : 4.6/5 (149 download)
Download or read book Real Options, Ambiguity, Risk and Insurance written by A. Bensoussan and published by IOS Press. This book was released on 2013-05-02 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial engineering has become the focus of widespread media attention as a result of the worldwide financial crisis of recent years. This book is the second in a series dealing with financial engineering from Ajou University in Korea. The main objective of the series is to disseminate recent developments and important issues in financial engineering to graduate students and researchers, and to provide surveys or pedagogical exposition of important published papers in a broad perspective, as well as analyses of important financial news concerning financial engineering research, practices or regulations. Real Options, Ambiguity, Risk and Insurance, comprises 12 chapters and is divided into three parts. In Part I, five chapters deal with real options analysis, which addresses the issue of investment decisions in complex, innovative or risky projects. Part II presents three chapters on ambiguity. The notion of ambiguity is one of the major breakthroughs in the expected utility theory; ambiguity arises as uncertainties cannot be precisely described in the probability space. Part III consists of four chapters devoted to risk and insurance, and covers mutual insurance for non-traded risks, downside risk management, and credit risk in fixed income markets. This volume will be useful to both graduate students and researchers in understanding relatively new areas in economics and finance, as well as challenging aspects of mathematics.
Author : Philippe Bertrand
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Another Look at Portfolio Optimization under Tracking-Error Constraints written by Philippe Bertrand and published by . This book was released on 2008 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Today, the use of a benchmark portfolio is common practice in the financial management industry. This setup allows the investor to evaluate the added value in line with the risks undertaken. But the relevant concept of risk is relative risk as defined by tracking-error volatility.The problem of minimizing the volatility of tracking error was originally solved by Roll (1992). He noticed that the optimal portfolios obtained have several undesirable properties and then suggested introducing an additional constraint on the beta of the portfolio.More recently, Jorion (2003) elegantly tackled this problem again, pointing out that constant-TEV portfolios are described by an ellipse. He showed that because of the flat shape of this ellipse, adding a constraint on total portfolio volatility can substantially improve the performance of the managed portfolio.This paper looks at the problem from another angle. Instead of considering constant TEV frontiers as Jorion does, we allow tracking error to vary but we fix the risk aversion. It is shown that the resulting optimal portfolios have several desirable properties.
