Optimal Portfolio Selection Under Linear Cumulative Prospect Theory

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Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Linear and Mixed Integer Programming for Portfolio Optimization

Author : Renata Mansini
Publisher : Springer
ISBN 13 : 3319184822
Total Pages : 131 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Linear and Mixed Integer Programming for Portfolio Optimization by : Renata Mansini

Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.

Handbook of the Fundamentals of Financial Decision Making

Author : Leonard C. MacLean
Publisher : World Scientific
ISBN 13 : 9814417351
Total Pages : 941 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Handbook of the Fundamentals of Financial Decision Making by : Leonard C. MacLean

Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).

Third-Order Risk Preferences and Cumulative Prospect Theory

Author : Michael Borß
Publisher : BoD – Books on Demand
ISBN 13 : 384410500X
Total Pages : 250 pages
Book Rating : 4.8/5 (441 download)

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Book Synopsis Third-Order Risk Preferences and Cumulative Prospect Theory by : Michael Borß

Download or read book Third-Order Risk Preferences and Cumulative Prospect Theory written by Michael Borß and published by BoD – Books on Demand. This book was released on 2017-03-02 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is broad theoretical and empirical evidence that investors exhibit a preference for skewness. However, there is little research regarding the extent to which individuals really favor positive skewness in individual decision making. In this dissertation, a controlled laboratory experiment is used to test for skewness preferences and prudence – a broader third-order risk preference that is closely linked to skewness preferences. Skewness and prudence preferences are further analyzed both within an Expected Utility Theory framework as well as with Cumulative Prospect Theory. For this, a sound experimental setup is used that also excludes any potentially distortionary effects from loss aversion. This dissertation therefore contributes to better understanding of individual risk preferences and other impact factors, such as a more “rational” vs. a more “intuitive” decision making process in individual decision making.

Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author : Marco Corazza
Publisher : Springer Nature
ISBN 13 : 3030789659
Total Pages : 389 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Mathematical and Statistical Methods for Actuarial Sciences and Finance by : Marco Corazza

Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer Nature. This book was released on 2021-12-13 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: The cooperation and contamination between mathematicians, statisticians and econometricians working in actuarial sciences and finance is improving the research on these topics and producing numerous meaningful scientific results. This volume presents new ideas, in the form of four- to six-page papers, presented at the International Conference eMAF2020 – Mathematical and Statistical Methods for Actuarial Sciences and Finance. Due to the now sadly famous COVID-19 pandemic, the conference was held remotely through the Zoom platform offered by the Department of Economics of the Ca’ Foscari University of Venice on September 18, 22 and 25, 2020. eMAF2020 is the ninth edition of an international biennial series of scientific meetings, started in 2004 at the initiative of the Department of Economics and Statistics of the University of Salerno. The effectiveness of this idea has been proven by wide participation in all editions, which have been held in Salerno (2004, 2006, 2010 and 2014), Venice (2008, 2012 and 2020), Paris (2016) and Madrid (2018). This book covers a wide variety of subjects: artificial intelligence and machine learning in finance and insurance, behavioral finance, credit risk methods and models, dynamic optimization in finance, financial data analytics, forecasting dynamics of actuarial and financial phenomena, foreign exchange markets, insurance models, interest rate models, longevity risk, models and methods for financial time series analysis, multivariate techniques for financial markets analysis, pension systems, portfolio selection and management, real-world finance, risk analysis and management, trading systems, and others. This volume is a valuable resource for academics, PhD students, practitioners, professionals and researchers. Moreover, it is also of interest to other readers with quantitative background knowledge.

Mathematical Methods in Investment and Finance

Author : G. P. Szegö
Publisher :
ISBN 13 :
Total Pages : 684 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Mathematical Methods in Investment and Finance by : G. P. Szegö

Download or read book Mathematical Methods in Investment and Finance written by G. P. Szegö and published by . This book was released on 1972 with total page 684 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Studies in Theoretical and Applied Statistics

Author : Nicola Salvati
Publisher : Springer Nature
ISBN 13 : 3031166094
Total Pages : 548 pages
Book Rating : 4.0/5 (311 download)

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Book Synopsis Studies in Theoretical and Applied Statistics by : Nicola Salvati

Download or read book Studies in Theoretical and Applied Statistics written by Nicola Salvati and published by Springer Nature. This book was released on 2023-02-14 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book includes a wide selection of papers presented at the 50th Scientific Meeting of the Italian Statistical Society (SIS2021), held virtually on 21-25 June 2021. It covers a wide variety of subjects ranging from methodological and theoretical contributions to applied works and case studies, giving an excellent overview of the interests of the Italian statisticians and their international collaborations. Intended for researchers interested in theoretical and empirical issues, this volume provides interesting starting points for further research.

The Use of Risk Budgets in Portfolio Optimization

Author : Albina Unger
Publisher : Springer
ISBN 13 : 3658072598
Total Pages : 443 pages
Book Rating : 4.6/5 (58 download)

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Book Synopsis The Use of Risk Budgets in Portfolio Optimization by : Albina Unger

Download or read book The Use of Risk Budgets in Portfolio Optimization written by Albina Unger and published by Springer. This book was released on 2014-09-10 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful.

Strategic Asset Allocation

Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Strategic Asset Allocation by : John Y. Campbell

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.

Scalable Uncertainty Management

Author : Nahla Ben Amor
Publisher : Springer Nature
ISBN 13 : 3030355144
Total Pages : 462 pages
Book Rating : 4.0/5 (33 download)

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Book Synopsis Scalable Uncertainty Management by : Nahla Ben Amor

Download or read book Scalable Uncertainty Management written by Nahla Ben Amor and published by Springer Nature. This book was released on 2019-12-02 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 13th International Conference on Scalable Uncertainty Management, SUM 2019, which was held in Compiègne, France, in December 2019. The 25 full, 4 short, 4 tutorial, 2 invited keynote papers presented in this volume were carefully reviewed and selected from 44 submissions. The conference is dedicated to the management of large amounts of complex, uncertain, incomplete, or inconsistent information. New approaches have been developed on imprecise probabilities, fuzzy set theory, rough set theory, ordinal uncertainty representations, or even purely qualitative models.

Risky Curves

Author : Daniel Friedman
Publisher : Routledge
ISBN 13 : 1317821238
Total Pages : 171 pages
Book Rating : 4.3/5 (178 download)

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Book Synopsis Risky Curves by : Daniel Friedman

Download or read book Risky Curves written by Daniel Friedman and published by Routledge. This book was released on 2014-02-05 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: For several decades, the orthodox economics approach to understanding choice under risk has been to assume that each individual person maximizes some sort of personal utility function defined over purchasing power. This new volume contests that even the best wisdom from the orthodox theory has not yet been able to do better than supposedly naïve models that use rules of thumb, or that focus on the consumption possibilities and economic constraints facing the individual. The authors assert this by first revisiting the origins of orthodox theory. They then recount decades of failed attempts to obtain meaningful empirical validation or calibration of the theory. Estimated shapes and parameters of the "curves" have varied erratically from domain to domain (e.g., individual choice versus aggregate behavior), from context to context, from one elicitation mechanism to another, and even from the same individual at different time periods, sometimes just minutes apart. This book proposes the return to a simpler sort of scientific theory of risky choice, one that focuses not upon unobservable curves but rather upon the potentially observable opportunities and constraints facing decision makers. It argues that such an opportunities-based model offers superior possibilities for scientific advancement. At the very least, linear utility – in the presence of constraints - is a useful bar for the "curved" alternatives to clear.

Handbook of Utility Theory

Author : Salvador Barbera
Publisher : Springer Science & Business Media
ISBN 13 : 1402079648
Total Pages : 636 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Handbook of Utility Theory by : Salvador Barbera

Download or read book Handbook of Utility Theory written by Salvador Barbera and published by Springer Science & Business Media. This book was released on 2004-03-31 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard rationality hypothesis is that behaviour can be represented as the maximization of a suitably restricted utility function. This hypothesis lies at the heart of a large body of recent work in economics, of course, but also in political science, ethics, and other major branches of the social sciences. Though this hypothesis of utility maximization deserves our continued respect, finding further refinements and developing new critiques remain areas of active research. In fact, many fundamental conceptual problems remain unsettled. Where others have been resolved, their resolutions may be too recent to have achieved widespread understanding among social scientists. Last but not least, a growing number of papers attempt to challenge the rationality hypothesis head on, at least in its more orthodox formulation. The main purpose of this Handbook is to make more widely available some recent developments in the area. Yet we are well aware that the final chapter of a handbook like this can never be written as long as the area of research remains active, as is certainly the case with utility theory. The editors originally selected a list of topics that seemed ripe enough at the time that the book was planned. Then they invited contributions from researchers whose work had come to their attention. So the list of topics and contributors is largely the editors' responsibility, although some potential con tributors did decline our invitation. Each chapter has also been refereed, and often significantly revised in the light of the referees' remarks.

Portfolio Decision Analysis

Author : Ahti Salo
Publisher : Springer Science & Business Media
ISBN 13 : 1441999434
Total Pages : 410 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Portfolio Decision Analysis by : Ahti Salo

Download or read book Portfolio Decision Analysis written by Ahti Salo and published by Springer Science & Business Media. This book was released on 2011-08-12 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Decision Analysis: Improved Methods for Resource Allocation provides an extensive, up-to-date coverage of decision analytic methods which help firms and public organizations allocate resources to 'lumpy' investment opportunities while explicitly recognizing relevant financial and non-financial evaluation criteria and the presence of alternative investment opportunities. In particular, it discusses the evolution of these methods, presents new methodological advances and illustrates their use across several application domains. The book offers a many-faceted treatment of portfolio decision analysis (PDA). Among other things, it (i) synthesizes the state-of-play in PDA, (ii) describes novel methodologies, (iii) fosters the deployment of these methodologies, and (iv) contributes to the strengthening of research on PDA. Portfolio problems are widely regarded as the single most important application context of decision analysis, and, with its extensive and unique coverage of these problems, this book is a much-needed addition to the literature. The book also presents innovative treatments of new methodological approaches and their uses in applications. The intended audience consists of practitioners and researchers who wish to gain a good understanding of portfolio decision analysis and insights into how PDA methods can be leveraged in different application contexts. The book can also be employed in courses at the post-graduate level.

Portfolio Optimization and Performance Analysis

Author : Jean-Luc Prigent
Publisher : CRC Press
ISBN 13 : 142001093X
Total Pages : 451 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Portfolio Optimization and Performance Analysis by : Jean-Luc Prigent

Download or read book Portfolio Optimization and Performance Analysis written by Jean-Luc Prigent and published by CRC Press. This book was released on 2007-05-07 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont

Prospect Theory

Author : Peter P. Wakker
Publisher : Cambridge University Press
ISBN 13 : 1139489100
Total Pages : 519 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Prospect Theory by : Peter P. Wakker

Download or read book Prospect Theory written by Peter P. Wakker and published by Cambridge University Press. This book was released on 2010-07-22 with total page 519 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prospect Theory: For Risk and Ambiguity, provides a comprehensive and accessible textbook treatment of the way decisions are made both when we have the statistical probabilities associated with uncertain future events (risk) and when we lack them (ambiguity). The book presents models, primarily prospect theory, that are both tractable and psychologically realistic. A method of presentation is chosen that makes the empirical meaning of each theoretical model completely transparent. Prospect theory has many applications in a wide variety of disciplines. The material in the book has been carefully organized to allow readers to select pathways through the book relevant to their own interests. With numerous exercises and worked examples, the book is ideally suited to the needs of students taking courses in decision theory in economics, mathematics, finance, psychology, management science, health, computer science, Bayesian statistics, and engineering.

Handbook of Portfolio Construction

Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
ISBN 13 : 0387774394
Total Pages : 796 pages
Book Rating : 4.3/5 (877 download)

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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.

Encyclopedia of Finance

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Encyclopedia of Finance by : Cheng-Few Lee

Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.