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Portfolio Optimization with Different Information Flow

Portfolio Optimization with Different Information Flow
A Book

by Caroline Hillairet,Ying Jiao

  • Publisher : Elsevier
  • Release : 2017-02-10
  • Pages : 190
  • ISBN : 0081011776
  • Language : En, Es, Fr & De
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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

Enlargement of Filtration with Finance in View

Enlargement of Filtration with Finance in View
A Book

by Anna Aksamit,Monique Jeanblanc

  • Publisher : Springer
  • Release : 2017-11-18
  • Pages : 150
  • ISBN : 3319412558
  • Language : En, Es, Fr & De
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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.

Arbitrage, Credit and Informational Risks

Arbitrage, Credit and Informational Risks
A Book

by Caroline Hillairet,Monique Jeanblanc,Ying Jiao

  • Publisher : World Scientific
  • Release : 2014-03-18
  • Pages : 276
  • ISBN : 9814602086
  • Language : En, Es, Fr & De
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This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:Arbitrage:No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier)Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)Credit Risk:Pricing Credit Derivatives with a Structural Default Model (Sébastien Hitier and Ying Zhu)Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Stéphane Crépey)Dynamic One-default Model (Shiqi Song)Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)Control Problem and Information Risks:Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski)A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Réveillac)A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows (Caroline Hillairet)Option Pricing under Stochastic Volatility, Jumps and Cost of Information (Sana Mahfoudh and Monique Pontier) Readership: Advanced undergraduates, graduates and researchers in financial mathematics. Key Features:Treats new problems and challenges issued from the recent financial crisis and proposes original research papers on the modeling and management of the related financial risks, notably the credit risk and information asymmetry risksThe contributors consist of worldwide renowned experts and also promising young scientists in financial mathematicsAccessible to a larger public including graduate and advanced undergraduate studentsKeywords:Arbitrage;Credit Risk;Information Asymmetry Risks

Integration of Information Flow for Greening Supply Chain Management

Integration of Information Flow for Greening Supply Chain Management
A Book

by Adam Kolinski,Davor Dujak,Paulina Golinska-Dawson

  • Publisher : Springer Nature
  • Release : 2019-08-21
  • Pages : 415
  • ISBN : 3030243559
  • Language : En, Es, Fr & De
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This book provides a framework for integrating information management in supply chains. Current trends in business practice have made it necessary to explore the potential held by information integration with regard to environmental aspects. Information flow integration provides an opportunity to focus on the creation of a more “green” supply chain. However, it is currently difficult to identify the impact of information integration on greening a supply chain in a wide range of practical applications. Accordingly, this book focuses on the potential value of information integration solutions in terms of greening supply chain management. It covers the following major topics: Application of information flow standards in the supply chain Information systems and technological solutions for integrating information flows in supply chains The Internet of Things and the industry 4.0 concept, with regard to the integration of supply chains Modeling and simulation of logistics processes Decision-making tools enabling the greening of supply chains

Portfolio Management

Portfolio Management
How to Innovate and Invest in Successful Projects

by Shan Rajegopal

  • Publisher : Palgrave Macmillan
  • Release : 2012-11-29
  • Pages : 238
  • ISBN : 1137023333
  • Language : En, Es, Fr & De
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Technology is accelerating the speed of change, increasing competition in the marketplace and forcing business leaders to be agile and innovative in order to stay ahead of competitors. Where some companies are falling by the wayside, others are excelling in decision-making and execution. What makes the difference? Businesses that are good at managing change have an end-to-end approach in thinking about innovation, investment and implementation. Right at the outset they think about how to establish a culture of innovation, how to align innovation and investment decision-making, how to prioritise resources to the right areas and how to streamline the myriad of decision-making processes to manage implementation and measure results to drive continuous improvement. In Portfolio Management, Shan Rajegopal, a leading authority on innovation and project portfolio management, sets out in a clear, simple style the key factors you need to address to ensure the good innovative ideas bubble to the top, that you make better investment decisions and can manage implementation with less wasted resources and time. Using a tried-and-tested, integrated, project portfolio management framework that aligns innovation, investment and implementation, this book is an essential blueprint for business executives who are seeking big returns from their innovation investments!

Bond Portfolio Optimization

Bond Portfolio Optimization
A Book

by Michael Puhle

  • Publisher : Springer Science & Business Media
  • Release : 2008-01-08
  • Pages : 140
  • ISBN : 9783540765936
  • Language : En, Es, Fr & De
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The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.

Optimization Methods in Finance

Optimization Methods in Finance
A Book

by Gerard Cornuejols,Reha Tütüncü

  • Publisher : Cambridge University Press
  • Release : 2006-12-21
  • Pages : 329
  • ISBN : 1139460560
  • Language : En, Es, Fr & De
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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.

Mathematical Reviews

Mathematical Reviews
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2008
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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TIMS/ORSA Bulletin

TIMS/ORSA Bulletin
A Book

by Institute of Management Sciences

  • Publisher : Unknown Publisher
  • Release : 1993
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Encyclopedia of Business Analytics and Optimization

Encyclopedia of Business Analytics and Optimization
A Book

by Wang, John

  • Publisher : IGI Global
  • Release : 2014-02-28
  • Pages : 2754
  • ISBN : 1466652039
  • Language : En, Es, Fr & De
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As the age of Big Data emerges, it becomes necessary to take the five dimensions of Big Data- volume, variety, velocity, volatility, and veracity- and focus these dimensions towards one critical emphasis - value. The Encyclopedia of Business Analytics and Optimization confronts the challenges of information retrieval in the age of Big Data by exploring recent advances in the areas of knowledge management, data visualization, interdisciplinary communication, and others. Through its critical approach and practical application, this book will be a must-have reference for any professional, leader, analyst, or manager interested in making the most of the knowledge resources at their disposal.

Strategic Information Technology and Portfolio Management

Strategic Information Technology and Portfolio Management
A Book

by Tan, Albert Wee Kwan,Theodorou, Petros

  • Publisher : IGI Global
  • Release : 2009-03-31
  • Pages : 466
  • ISBN : 159904689X
  • Language : En, Es, Fr & De
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"The objectives of the proposed book are to provide techniques and tools appropriate for building application portfolios and develop strategies that increase financial performance"--Provided by publisher.

Stochastic Optimization Methods in Finance and Energy

Stochastic Optimization Methods in Finance and Energy
New Financial Products and Energy Market Strategies

by Marida Bertocchi,Giorgio Consigli,Michael A. H. Dempster

  • Publisher : Springer Science & Business Media
  • Release : 2011-09-15
  • Pages : 476
  • ISBN : 9781441995865
  • Language : En, Es, Fr & De
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This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.

Advances in Active Portfolio Management: New Developments in Quantitative Investing

Advances in Active Portfolio Management: New Developments in Quantitative Investing
A Book

by Ronald N. Kahn,Richard C. Grinold

  • Publisher : McGraw Hill Professional
  • Release : 2019-09-13
  • Pages : 464
  • ISBN : 1260453723
  • Language : En, Es, Fr & De
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From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn. Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn’s legendary approach to meet current challenges. Composed of articles published in today’s leading management publications—including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into: • Dynamic Portfolio Management • Signal Weighting • Implementation Efficiency • Holdings-based attribution • Expected returns • Risk management • Portfolio construction • Fees Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors’ framework, and applying the framework in today’s investing landscape. The culmination of many decades of investing experience and research, Advances in Active Portfolio Managementmakes complex issues easy to understand and put into practice. It’s the one-stop resource you need to succeed in the world of investing today.

Journal of Investment Management

Journal of Investment Management
JOIM.

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2006
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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SPE Reservoir Evaluation & Engineering

SPE Reservoir Evaluation & Engineering
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2002
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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INFORMS Conference Program

INFORMS Conference Program
A Book

by Institute for Operations Research and the Management Sciences. National Meeting

  • Publisher : Unknown Publisher
  • Release : 2006
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Portfolio and Investment Analysis with SAS

Portfolio and Investment Analysis with SAS
Financial Modeling Techniques for Optimization

by John B. Guerard,Ziwei Wang,Ganlin Xu

  • Publisher : SAS Institute
  • Release : 2019-04-03
  • Pages : 230
  • ISBN : 1635266890
  • Language : En, Es, Fr & De
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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.

The Oxford Handbook of Applied Bayesian Analysis

The Oxford Handbook of Applied Bayesian Analysis
A Book

by Anthony O' Hagan,Mike West

  • Publisher : OUP Oxford
  • Release : 2010-03-18
  • Pages : 924
  • ISBN : 0191613894
  • Language : En, Es, Fr & De
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Bayesian analysis has developed rapidly in applications in the last two decades and research in Bayesian methods remains dynamic and fast-growing. Dramatic advances in modelling concepts and computational technologies now enable routine application of Bayesian analysis using increasingly realistic stochastic models, and this drives the adoption of Bayesian approaches in many areas of science, technology, commerce, and industry. This Handbook explores contemporary Bayesian analysis across a variety of application areas. Chapters written by leading exponents of applied Bayesian analysis showcase the scientific ease and natural application of Bayesian modelling, and present solutions to real, engaging, societally important and demanding problems. The chapters are grouped into five general areas: Biomedical & Health Sciences; Industry, Economics & Finance; Environment & Ecology; Policy, Political & Social Sciences; and Natural & Engineering Sciences, and Appendix material in each touches on key concepts, models, and techniques of the chapter that are also of broader pedagogic and applied interest.

Equity Valuation and Portfolio Management

Equity Valuation and Portfolio Management
A Book

by Frank J. Fabozzi,Harry M. Markowitz

  • Publisher : John Wiley & Sons
  • Release : 2011-09-20
  • Pages : 576
  • ISBN : 1118156552
  • Language : En, Es, Fr & De
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A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities. Discusses both fundamental and new techniques for valuation and strategies Fabozzi and Markowitz are experts in the fields of investment management and economics Includes end of chapter bullet point summaries, key chapter take-aways, and study questions Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.

Energy Trading and Risk Management

Energy Trading and Risk Management
A Practical Approach to Hedging, Trading and Portfolio Diversification

by Iris Marie Mack

  • Publisher : John Wiley & Sons
  • Release : 2014-04-07
  • Pages : 400
  • ISBN : 1118339347
  • Language : En, Es, Fr & De
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A comprehensive overviewof trading and risk management in the energy markets Energy Trading and Risk Management provides a comprehensiveoverview of global energy markets from one of the foremostauthorities on energy derivatives and quantitative finance. With anapproachable writing style, Iris Mack breaks down the three primaryapplications for energy derivatives markets – RiskManagement, Speculation, and Investment Portfolio Diversification– in a way that hedge fund traders, consultants, and energymarket participants can apply in their day to day tradingactivities. Moving from the fundamentals ofenergy markets through simple and complex derivatives trading,hedging strategies, and industry-specific case studies, Dr. Mackwalks readers through energy trading and risk management conceptsat an instructive pace, supporting her explanations with real-worldexamples, illustrations, charts, and precise definitions ofimportant and often-misunderstood terms. From stochastic pricing modelsfor exotic derivatives, to modern portfolio theory (MPT), energyportfolio management (EPM), to case studies dealing specificallywith risk management challenges unique to wind and hydro-electricpower, the bookguides readers through the complex world of energytrading and risk management to help investors, executives, andenergy professionals ensure profitability and optimal riskmitigation in every market climate. Energy Trading and RiskManagement is a great resource to help grapple with the veryinteresting but oftentimes complex issues that arise in energytrading and risk management.