Portfolio Optimization Using Conditional Value At Risk

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Probabilistic Constrained Optimization

Author : Stanislav Uryasev
Publisher : Springer Science & Business Media
ISBN 13 : 1475731507
Total Pages : 319 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Probabilistic Constrained Optimization by : Stanislav Uryasev

Download or read book Probabilistic Constrained Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment. Recently, significant advances have been made in sensitivity analysis and optimization of probabilistic functions, which is the basis for construction of new efficient approaches. This book presents the state of the art in the theory of optimization of probabilistic functions and several engineering and finance applications, including material flow systems, production planning, Value-at-Risk, asset and liability management, and optimal trading strategies for financial derivatives (options). Audience: The book is a valuable source of information for faculty, students, researchers, and practitioners in financial engineering, operation research, optimization, computer science, and related areas.

Portfolio Optimization Using Conditional Value-at-risk

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)

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Book Synopsis Portfolio Optimization Using Conditional Value-at-risk by :

Download or read book Portfolio Optimization Using Conditional Value-at-risk written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Metaheuristic Approaches to Portfolio Optimization

Author : Ray, Jhuma
Publisher : IGI Global
ISBN 13 : 1522581049
Total Pages : 263 pages
Book Rating : 4.5/5 (225 download)

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Book Synopsis Metaheuristic Approaches to Portfolio Optimization by : Ray, Jhuma

Download or read book Metaheuristic Approaches to Portfolio Optimization written by Ray, Jhuma and published by IGI Global. This book was released on 2019-06-22 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns and minimizing risks within a given investment period for a variety of assets. Metaheuristic Approaches to Portfolio Optimization is an essential reference source that examines the proper selection of financial instruments in a financial portfolio management scenario in terms of metaheuristic approaches. It also explores common measures used for the evaluation of risks/returns of portfolios in real-life situations. Featuring research on topics such as closed-end funds, asset allocation, and risk-return paradigm, this book is ideally designed for investors, financial professionals, money managers, accountants, students, professionals, and researchers.

Stochastic Optimization

Author : Stanislav Uryasev
Publisher : Springer Science & Business Media
ISBN 13 : 1475765940
Total Pages : 438 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Stochastic Optimization by : Stanislav Uryasev

Download or read book Stochastic Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Encyclopedia of Operations Research and Management Science

Author : Saul I. Gass
Publisher : Springer Science & Business Media
ISBN 13 : 1461304598
Total Pages : 774 pages
Book Rating : 4.4/5 (613 download)

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Book Synopsis Encyclopedia of Operations Research and Management Science by : Saul I. Gass

Download or read book Encyclopedia of Operations Research and Management Science written by Saul I. Gass and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 774 pages. Available in PDF, EPUB and Kindle. Book excerpt: Operations Research: 1934-1941," 35, 1, 143-152; "British The goal of the Encyclopedia of Operations Research and Operational Research in World War II," 35, 3, 453-470; Management Science is to provide to decision makers and "U. S. Operations Research in World War II," 35, 6, 910-925; problem solvers in business, industry, government and and the 1984 article by Harold Lardner that appeared in academia a comprehensive overview of the wide range of Operations Research: "The Origin of Operational Research," ideas, methodologies, and synergistic forces that combine to 32, 2, 465-475. form the preeminent decision-aiding fields of operations re search and management science (OR/MS). To this end, we The Encyclopedia contains no entries that define the fields enlisted a distinguished international group of academics of operations research and management science. OR and MS and practitioners to contribute articles on subjects for are often equated to one another. If one defines them by the which they are renowned. methodologies they employ, the equation would probably The editors, working with the Encyclopedia's Editorial stand inspection. If one defines them by their historical Advisory Board, surveyed and divided OR/MS into specific developments and the classes of problems they encompass, topics that collectively encompass the foundations, applica the equation becomes fuzzy. The formalism OR grew out of tions, and emerging elements of this ever-changing field. We the operational problems of the British and U. s. military also wanted to establish the close associations that OR/MS efforts in World War II.

Portfolio Optimization Via Conditional Value-at-risk

Author : Win Prapinmongkolkarn
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (656 download)

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Book Synopsis Portfolio Optimization Via Conditional Value-at-risk by : Win Prapinmongkolkarn

Download or read book Portfolio Optimization Via Conditional Value-at-risk written by Win Prapinmongkolkarn and published by . This book was released on 2008 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Portfolio Optimization with Conditional Value-at-risk Objective and Constraints

Author : Jonas Palmquist
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (15 download)

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Book Synopsis Portfolio Optimization with Conditional Value-at-risk Objective and Constraints by : Jonas Palmquist

Download or read book Portfolio Optimization with Conditional Value-at-risk Objective and Constraints written by Jonas Palmquist and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Risk Modelling and Portfolio Optimization with R

Author : Bernhard Pfaff
Publisher : John Wiley & Sons
ISBN 13 : 1119119685
Total Pages : 448 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Financial Risk Modelling and Portfolio Optimization with R by : Bernhard Pfaff

Download or read book Financial Risk Modelling and Portfolio Optimization with R written by Bernhard Pfaff and published by John Wiley & Sons. This book was released on 2016-08-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimization with risk constraints. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.

Portfolio Optimization Under Conditional Value at Risk Constraints

Author : Yannick Paukner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)

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Book Synopsis Portfolio Optimization Under Conditional Value at Risk Constraints by : Yannick Paukner

Download or read book Portfolio Optimization Under Conditional Value at Risk Constraints written by Yannick Paukner and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Supply Chain and Finance

Author : Panos M. Pardalos
Publisher : World Scientific
ISBN 13 : 981238717X
Total Pages : 359 pages
Book Rating : 4.8/5 (123 download)

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Book Synopsis Supply Chain and Finance by : Panos M. Pardalos

Download or read book Supply Chain and Finance written by Panos M. Pardalos and published by World Scientific. This book was released on 2004 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes recently developed mathematical models, methodologies, and case studies in diverse areas, including stock market analysis, portfolio optimization, classification techniques in economics, supply chain optimization, development of e-commerce applications, etc. It will be of interest to both theoreticians and practitioners working in economics and finance.

Optimization Methods in Finance

Author : Gerard Cornuejols
Publisher : Cambridge University Press
ISBN 13 : 9780521861700
Total Pages : 358 pages
Book Rating : 4.8/5 (617 download)

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Book Synopsis Optimization Methods in Finance by : Gerard Cornuejols

Download or read book Optimization Methods in Finance written by Gerard Cornuejols and published by Cambridge University Press. This book was released on 2006-12-21 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

Portfolio Optimization with Hedge Funds

Author : Stephan Jöhri
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (638 download)

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Book Synopsis Portfolio Optimization with Hedge Funds by : Stephan Jöhri

Download or read book Portfolio Optimization with Hedge Funds written by Stephan Jöhri and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Portfolio Optimization Under Dynamic Conditional Value-at-Risk

Author : Hao-Ting Huang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (897 download)

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Book Synopsis Portfolio Optimization Under Dynamic Conditional Value-at-Risk by : Hao-Ting Huang

Download or read book Portfolio Optimization Under Dynamic Conditional Value-at-Risk written by Hao-Ting Huang and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Conditional Value at Risk Optimization of a Credit Bond Portfolio, a Practical Analysis

Author : Albert Mentink
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Conditional Value at Risk Optimization of a Credit Bond Portfolio, a Practical Analysis by : Albert Mentink

Download or read book Conditional Value at Risk Optimization of a Credit Bond Portfolio, a Practical Analysis written by Albert Mentink and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, research has been published in which optimal portfolios of credit risky bonds are determined that are less risky, while having at least the same expected return, using the CreditMetrics model. In this paper, we investigate whether the quot;optimalquot; bond portfolios are really an improvement by analyzing the characteristics of the individual bonds in the optimal portfolio. We find that a portfolio manager should be careful in following blindly the trades as suggested by the optimal portfolio because optimal portfolios are dominated by only one or two bonds. Moreover, the composition of such an optimal portfolio is very sensitive to small changes in the expected forward price of its main constituents. However, the portfolio optimization can be used in combination with some common sense restrictions to produce portfolios that both have a lower risk and higher return than a fully diversified portfolio. We also improve on the portfolio by replacing the dominant bond in the optimal portfolio by similar bonds. As a risk measure we use the Conditional Value at Risk, which at a given percentile equals the expected value of the losses that exceed the Value at Risk at that percentile. Conditional Value at Risk also provides information about the losses larger than the Value at Risk. Furthermore, the Conditional Value at Risk can be optimized using linear programming.

Conditional Value-at-Risk Robust Optimization

Author : P.A Nguyen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Conditional Value-at-Risk Robust Optimization by : P.A Nguyen

Download or read book Conditional Value-at-Risk Robust Optimization written by P.A Nguyen and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose using the well-known conditional value at risk (CVaR) risk measure as a new methodology for incorporating robustness into portfolio optimization. Robustness in portfolio optimization can address the poor out-of-sample performance of the classical mean-variance optimization problems. Using many estimates of the covariance matrix and mean return vector, we incorporate robustness by finding a portfolio that performs well, on average, for a worst-case subset of these estimates, rather than for a single estimate. This becomes a bilevel integer program that we reformulate into a tractable form under appropriate conditions. We present numerical results that compares this CVaR robust method to a distributionally robust optimization approach that uses the Wasserstein metric to measure robustness. Theoretically, we extend the existing work of stochastic programming by linking the CVaR robustness to the sample average approximation. Specifically, we show that the CVaR robustness problem provides an upper bound, in expectation, to stochastic programming problems. We derive various asymptotic convergence results.

Trading and Pricing Financial Derivatives

Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 273 pages
Book Rating : 4.5/5 (474 download)

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Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle

Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.