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Portfolio Optimization With Different Information Flow
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Book Synopsis Portfolio Optimization with Different Information Flow by : Caroline Hillairet
Download or read book Portfolio Optimization with Different Information Flow written by Caroline Hillairet and published by Elsevier. This book was released on 2017-02-10 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtration theory.The authors apply the theory of the enlargement of filtrations and solve the optimization problem. Two main types of enlargement of filtration are discussed: initial and progressive, using tools from various fields, such as from stochastic calculus and convex analysis, optimal stochastic control and backward stochastic differential equations. This theoretical and numerical analysis is applied in different market settings to provide a good basis for the understanding of portfolio optimization with different information flow. - Presents recent progress of stochastic portfolio optimization with exotic filtrations - Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem - Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations
Book Synopsis Essays on Portfolio Optimization and ESG Ratings under Risk Constraints and Incomplete Information by : Janke, Oliver
Download or read book Essays on Portfolio Optimization and ESG Ratings under Risk Constraints and Incomplete Information written by Janke, Oliver and published by Lehmanns Media. This book was released on with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor’s information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks’ lending to firms, on the regulator’s deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.
Book Synopsis Mathematics Going Forward by : Jean-Michel Morel
Download or read book Mathematics Going Forward written by Jean-Michel Morel and published by Springer Nature. This book was released on 2023-06-14 with total page 629 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is an original collection of articles by 44 leading mathematicians on the theme of the future of the discipline. The contributions range from musings on the future of specific fields, to analyses of the history of the discipline, to discussions of open problems and conjectures, including first solutions of unresolved problems. Interestingly, the topics do not cover all of mathematics, but only those deemed most worthy to reflect on for future generations. These topics encompass the most active parts of pure and applied mathematics, including algebraic geometry, probability, logic, optimization, finance, topology, partial differential equations, category theory, number theory, differential geometry, dynamical systems, artificial intelligence, theory of groups, mathematical physics and statistics.
Book Synopsis Enlargement of Filtration with Finance in View by : Anna Aksamit
Download or read book Enlargement of Filtration with Finance in View written by Anna Aksamit and published by Springer. This book was released on 2017-11-18 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many examples and applications to finance, in particular to credit risk modelling and the study of asymmetric information, are provided to illustrate the theory. A detailed summary of further connections and applications is given in bibliographic notes which enables to deepen study of the topic. This book fills a gap in the literature and serves as a guide for graduate students and researchers interested in the role of information in financial mathematics and in econometric science. A basic knowledge of the general theory of stochastic processes is assumed as a prerequisite.
Book Synopsis Data-driven Modeling and Optimization: Applications to Social Computing by : Chao Gao
Download or read book Data-driven Modeling and Optimization: Applications to Social Computing written by Chao Gao and published by Frontiers Media SA. This book was released on 2022-09-14 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Management by : Shan Rajegopal
Download or read book Portfolio Management written by Shan Rajegopal and published by Springer. This book was released on 2012-11-28 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Portfolio Management , Shan Rajegopal, a leading authority on innovation and project portfolio management, provides an integrated project portfolio management framework which links innovation, investment and implementation. A successful tried and tested method, this blueprint will be a hands-on guide for business executives.
Book Synopsis IT (Information Technology) Portfolio Management Step-by-Step by : Bryan Maizlish
Download or read book IT (Information Technology) Portfolio Management Step-by-Step written by Bryan Maizlish and published by John Wiley & Sons. This book was released on 2010-10-07 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for IT Portfolio Management Step-by-Step "Bryan Maizlish and Robert Handler bring their deep experience in IT 'value realization' to one of the most absent of all IT management practices--portfolio management. They capture the essence of universally proven investment practices and apply them to the most difficult of challenges--returning high strategic and dollar payoffs from an enterprise's IT department. The reader will find many new and rewarding insights to making their IT investments finally return market leading results." --John C. Reece, Chairman and CEO, John C. Reece & Associates, LLC Former deputy commissioner for modernization and CIO of the IRS "IT Portfolio Management describes in great detail the critical aspects, know-how, practical examples, key insights, and best practices to improve operational efficiency, corporate agility, and business competitiveness. It eloquently illustrates the methods of building and integrating a portfolio of IT investments to ensure the realization of maximum value and benefit, and to fully leverage the value of all IT assets. Whether you are getting started or building on your initial success in IT portfolio management, this book will provide you information on how to build and implement an effective IT portfolio management strategy." --David Mitchell, President and CEO, webMethods, Inc. "I found IT Portfolio Management very easy to read, and it highlights many of the seminal aspects and best practices from financial portfolio management. It is an important book for executive, business, and IT managers." --Michael J. Montgomery, President, Montgomery & Co. "IT Portfolio Management details a comprehensive framework and process showing how to align business and IT for superior value. Maizlish and Handler have the depth of experience, knowledge, and insight needed to tackle the challenges and opportunities companies face in optimizing their IT investment portfolios. This is an exceptionally important book for executive leadership and IT business managers, especially those wanting to build a process-managed enterprise." --Peter Fingar, Executive Partner Greystone Group, coauthor of The Real-Time Enterprise and Business Process Management (BPM): The Third Wave "A must-read for the non-IT manager who needs to understand the complexity and challenges of managing an IT portfolio. The portfolio management techniques, analysis tools, and planning can be applied to any project or function." --Richard "Max" Maksimoski, Senior Director R&D, The Scotts Company "This book provides an excellent framework and real-world based approach for implementing IT portfolio management. It is a must-read for every CIO staff considering how to strategically and operationally impact their company's bottom line." --Donavan R. Hardenbrook, New Product Development Professional, Intel Corporation
Book Synopsis Handbook of Statistical Analysis by : Robert Nisbet
Download or read book Handbook of Statistical Analysis written by Robert Nisbet and published by Elsevier. This book was released on 2024-09-16 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Statistical Analysis: AI and ML Applications, third edition, is a comprehensive introduction to all stages of data analysis, data preparation, model building, and model evaluation. This valuable resource is useful to students and professionals across a variety of fields and settings: business analysts, scientists, engineers, and researchers in academia and industry. General descriptions of algorithms together with case studies help readers understand technical and business problems, weigh the strengths and weaknesses of modern data analysis algorithms, and employ the right analytical methods for practical application. This resource is an ideal guide for users who want to address massive and complex datasets with many standard analytical approaches and be able to evaluate analyses and solutions objectively. It includes clear, intuitive explanations of the principles and tools for solving problems using modern analytic techniques; offers accessible tutorials; and discusses their application to real-world problems. - Brings together, in a single resource, all the information a beginner needs to understand the tools and issues in data analytics to build successful predictive analytic solutions - Provides in-depth descriptions and directions for performing many data preparation operations necessary to generate data sets in the proper form and format for submission to modeling algorithms - Features clear, intuitive explanations of standard analytical tools and techniques and their practical applications - Provides a number of case studies to guide practitioners in the design of analytical applications to solve real-world problems in their data domain - Offers valuable tutorials on the book webpage with step-by-step instructions on how to use suggested tools to build models - Provides predictive insights into the rapidly expanding "Intelligence Age" as it takes over from the "Information Age," enabling readers to easily transition the book's content into the tools of the future
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.
Book Synopsis Evolutionary Multi-Criterion Optimization by : Carlos M. Fonseca
Download or read book Evolutionary Multi-Criterion Optimization written by Carlos M. Fonseca and published by Springer. This book was released on 2003-08-03 with total page 825 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the Second International Conference on Evolutionary Multi-Criterion Optimization, EMO 2003, held in Faro, Portugal, in April 2003. The 56 revised full papers presented were carefully reviewed and selected from a total of 100 submissions. The papers are organized in topical sections on objective handling and problem decomposition, algorithm improvements, online adaptation, problem construction, performance analysis and comparison, alternative methods, implementation, and applications.
Book Synopsis Handbook of Statistical Analysis and Data Mining Applications by : Ken Yale
Download or read book Handbook of Statistical Analysis and Data Mining Applications written by Ken Yale and published by Elsevier. This book was released on 2017-11-09 with total page 824 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Statistical Analysis and Data Mining Applications, Second Edition, is a comprehensive professional reference book that guides business analysts, scientists, engineers and researchers, both academic and industrial, through all stages of data analysis, model building and implementation. The handbook helps users discern technical and business problems, understand the strengths and weaknesses of modern data mining algorithms and employ the right statistical methods for practical application. This book is an ideal reference for users who want to address massive and complex datasets with novel statistical approaches and be able to objectively evaluate analyses and solutions. It has clear, intuitive explanations of the principles and tools for solving problems using modern analytic techniques and discusses their application to real problems in ways accessible and beneficial to practitioners across several areas—from science and engineering, to medicine, academia and commerce. - Includes input by practitioners for practitioners - Includes tutorials in numerous fields of study that provide step-by-step instruction on how to use supplied tools to build models - Contains practical advice from successful real-world implementations - Brings together, in a single resource, all the information a beginner needs to understand the tools and issues in data mining to build successful data mining solutions - Features clear, intuitive explanations of novel analytical tools and techniques, and their practical applications
Book Synopsis Machine Learning and Data Sciences for Financial Markets by : Agostino Capponi
Download or read book Machine Learning and Data Sciences for Financial Markets written by Agostino Capponi and published by Cambridge University Press. This book was released on 2023-04-30 with total page 742 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.
Book Synopsis Paris-Princeton Lectures on Mathematical Finance 2002 by : René Carmona
Download or read book Paris-Princeton Lectures on Mathematical Finance 2002 written by René Carmona and published by Springer Science & Business Media. This book was released on 2003 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Product-Focused Software Process Improvement by : Maurizio Morisio
Download or read book Product-Focused Software Process Improvement written by Maurizio Morisio and published by Springer Nature. This book was released on 2020-11-20 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 21st International Conference on Product-Focused Software Process Improvement, PROFES 2020, held in Turin, Italy, in November 2020. Due to COVID-19 pandemic the conference was held virtually. The 19 revised full papers and 3 short papers presented were carefully reviewed and selected from 68 submissions. The papers cover a broad range of topics related to professional software development and process improvement driven by product and service quality needs. They are organized in topical sections on Agile Software Development.
Book Synopsis Stock Market Volatility by : Greg N. Gregoriou
Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Book Synopsis Portfolio and Investment Analysis with SAS by : John B. Guerard
Download or read book Portfolio and Investment Analysis with SAS written by John B. Guerard and published by SAS Institute. This book was released on 2019-04-03 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.
Book Synopsis Recent Advancements in Computational Finance and Business Analytics by : Rangan Gupta
Download or read book Recent Advancements in Computational Finance and Business Analytics written by Rangan Gupta and published by Springer Nature. This book was released on with total page 634 pages. Available in PDF, EPUB and Kindle. Book excerpt:
