Optimal Portfolio Selection With Transaction Costs And Event Risk

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Stochastic Dominance Option Pricing

Author : Stylianos Perrakis
Publisher : Springer
ISBN 13 : 3030115909
Total Pages : 294 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Stochastic Dominance Option Pricing by : Stylianos Perrakis

Download or read book Stochastic Dominance Option Pricing written by Stylianos Perrakis and published by Springer. This book was released on 2019-05-03 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working independently or jointly with other co-authors, over the course of more than thirty years. Among others, it yields the fundamental Black-Scholes-Merton option value when markets are complete, presents a new approach to the pricing of rare event risk, and uncovers option mispricing that leads to tradeable strategies in the presence of transaction costs. In the latter case it shows how a utility-maximizing investor trading in the market and a riskless bond, subject to proportional transaction costs, can increase his/her expected utility by overlaying a zero-net-cost portfolio of options bought at their ask price and written at their bid price, irrespective of the specific form of the utility function. The book contains a unified presentation of these methods and results, making it a highly readable supplement for educators and sophisticated professionals working in the popular field of option pricing. It also features a foreword by George Constantinides, the Leo Melamed Professor of Finance at the Booth School of Business, University of Chicago, USA, who was a co-author in several parts of the book.

Multi-Period Trading Via Convex Optimization

Author : Stephen Boyd
Publisher :
ISBN 13 : 9781680833287
Total Pages : 92 pages
Book Rating : 4.8/5 (332 download)

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Book Synopsis Multi-Period Trading Via Convex Optimization by : Stephen Boyd

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.

Handbook of Financial Econometrics

Author : Yacine Ait-Sahalia
Publisher : Elsevier
ISBN 13 : 0080929842
Total Pages : 809 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

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.

A Benchmark Approach to Quantitative Finance

Author : Eckhard Platen
Publisher : Springer Science & Business Media
ISBN 13 : 3540478566
Total Pages : 704 pages
Book Rating : 4.5/5 (44 download)

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Book Synopsis A Benchmark Approach to Quantitative Finance by : Eckhard Platen

Download or read book A Benchmark Approach to Quantitative Finance written by Eckhard Platen and published by Springer Science & Business Media. This book was released on 2006-10-28 with total page 704 pages. Available in PDF, EPUB and Kindle. Book excerpt: A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.

Portfolio Selection

Author : Harry Markowitz
Publisher : Yale University Press
ISBN 13 : 0300013728
Total Pages : 369 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Portfolio Selection by : Harry Markowitz

Download or read book Portfolio Selection written by Harry Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.

International Capital Flows

Author : Martin Feldstein
Publisher : University of Chicago Press
ISBN 13 : 0226241807
Total Pages : 500 pages
Book Rating : 4.2/5 (262 download)

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Book Synopsis International Capital Flows by : Martin Feldstein

Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.

Portfolio Risk Analysis

Author : Gregory Connor
Publisher : Princeton University Press
ISBN 13 : 1400835291
Total Pages : 400 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Portfolio Risk Analysis by : Gregory Connor

Download or read book Portfolio Risk Analysis written by Gregory Connor and published by Princeton University Press. This book was released on 2010-03-15 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Risk Analysis and Portfolio Modelling

Author : Elisa Luciano
Publisher : MDPI
ISBN 13 : 3039216244
Total Pages : 224 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Risk Analysis and Portfolio Modelling by : Elisa Luciano

Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

The Oxford Handbook of Quantitative Asset Management

Author : Bernd Scherer
Publisher : Oxford University Press
ISBN 13 : 0199553432
Total Pages : 530 pages
Book Rating : 4.1/5 (995 download)

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Book Synopsis The Oxford Handbook of Quantitative Asset Management by : Bernd Scherer

Download or read book The Oxford Handbook of Quantitative Asset Management written by Bernd Scherer and published by Oxford University Press. This book was released on 2012 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

Handbook of Recent Advances in Commodity and Financial Modeling

Author : Giorgio Consigli
Publisher : Springer
ISBN 13 : 3319613200
Total Pages : 323 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Handbook of Recent Advances in Commodity and Financial Modeling by : Giorgio Consigli

Download or read book Handbook of Recent Advances in Commodity and Financial Modeling written by Giorgio Consigli and published by Springer. This book was released on 2017-09-30 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.

Multi-Objective Optimization

Author : Jyotsna K. Mandal
Publisher : Springer
ISBN 13 : 9811314713
Total Pages : 326 pages
Book Rating : 4.8/5 (113 download)

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Book Synopsis Multi-Objective Optimization by : Jyotsna K. Mandal

Download or read book Multi-Objective Optimization written by Jyotsna K. Mandal and published by Springer. This book was released on 2018-08-18 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together the latest findings on efficient solutions of multi/many-objective optimization problems from the leading researchers in the field. The focus is on solving real-world optimization problems using strategies ranging from evolutionary to hybrid frameworks, and involving various computation platforms. The topics covered include solution frameworks using evolutionary to hybrid models in application areas like Analytics, Cancer Research, Traffic Management, Networks and Communications, E-Governance, Quantum Technology, Image Processing, etc. As such, the book offers a valuable resource for all postgraduate students and researchers interested in exploring solution frameworks for multi/many-objective optimization problems.

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.

Neutrosophic Sets and Systems, vol. 50/2022

Author : Florentin Smarandache
Publisher : Infinite Study
ISBN 13 :
Total Pages : 674 pages
Book Rating : 4./5 ( download)

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Book Synopsis Neutrosophic Sets and Systems, vol. 50/2022 by : Florentin Smarandache

Download or read book Neutrosophic Sets and Systems, vol. 50/2022 written by Florentin Smarandache and published by Infinite Study. This book was released on 2022-06-01 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Neutrosophic Sets and Systems” has been created for publications on advanced studies in neutrosophy, neutrosophic set, neutrosophic logic, neutrosophic probability, neutrosophic statistics that started in 1995 and their applications in any field, such as the neutrosophic structures developed in algebra, geometry, topology, etc. Neutrosophy is a new branch of philosophy that studies the origin, nature, and scope of neutralities, as well as their interactions with different ideational spectra. This theory considers every notion or idea together with its opposite or negation and with their spectrum of neutralities in between them (i.e. notions or ideas supporting neither nor ). The and ideas together are referred to as . Neutrosophy is a generalization of Hegel's dialectics (the last one is based on and only). According to this theory every idea tends to be neutralized and balanced by and ideas - as a state of equilibrium. In a classical way , , are disjoint two by two. But, since in many cases the borders between notions are vague, imprecise, Sorites, it is possible that , , (and of course) have common parts two by two, or even all three of them as well. Neutrosophic Set and Neutrosophic Logic are generalizations of the fuzzy set and respectively fuzzy logic (especially of intuitionistic fuzzy set and respectively intuitionistic fuzzy logic).

Proceedings of the International Conference on Soft Computing for Problem Solving (SocProS 2011) December 20-22, 2011

Author : Kusum Deep
Publisher : Springer Science & Business Media
ISBN 13 : 8132204875
Total Pages : 1048 pages
Book Rating : 4.1/5 (322 download)

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Book Synopsis Proceedings of the International Conference on Soft Computing for Problem Solving (SocProS 2011) December 20-22, 2011 by : Kusum Deep

Download or read book Proceedings of the International Conference on Soft Computing for Problem Solving (SocProS 2011) December 20-22, 2011 written by Kusum Deep and published by Springer Science & Business Media. This book was released on 2012-04-15 with total page 1048 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective is to provide the latest developments in the area of soft computing. These are the cutting edge technologies that have immense application in various fields. All the papers will undergo the peer review process to maintain the quality of work.

Efficient Asset Management

Author : Richard O. Michaud
Publisher : Oxford University Press
ISBN 13 : 0199887195
Total Pages : 207 pages
Book Rating : 4.1/5 (998 download)

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Book Synopsis Efficient Asset Management by : Richard O. Michaud

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.

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.