Optimal Portfolios

Author : Ralf Korn
Publisher : World Scientific
ISBN 13 : 9812385347
Total Pages : 352 pages
Book Rating : 4.45/5 ( download)

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Download or read book Optimal Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.

Author : Holger Kraft
Publisher : Springer Science & Business Media
ISBN 13 : 3642170412
Total Pages : 178 pages
Book Rating : 4.16/5 ( download)

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Download or read book Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets written by Holger Kraft and published by Springer Science & Business Media. This book was released on 2012-08-27 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with stochastic interest rates and portfolio problems with defaultable assets. The starting point for my research was the paper "A stochastic control ap proach to portfolio problems with stochastic interest rates" (jointly with Ralf Korn), in which we solved portfolio problems given a Vasicek term structure of the short rate. Having considered the Vasicek model, it was obvious that I should analyze portfolio problems where the interest rate dynamics are gov erned by other common short rate models. The relevant results are presented in Chapter 2. The second main issue concerns portfolio problems with default able assets modeled in a firm value framework. Since the assets of a firm then correspond to contingent claims on firm value, I searched for a way to easily deal with such claims in portfolio problems. For this reason, I developed the elasticity approach to portfolio optimization which is presented in Chapter 3. However, this way of tackling portfolio problems is not restricted to portfolio problems with default able assets only, but it provides a general framework allowing for a compact formulation of portfolio problems even if interest rates are stochastic.

Author : Ralf Korn
Publisher : World Scientific
ISBN 13 : 9810232152
Total Pages : 352 pages
Book Rating : 4.53/5 ( download)

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Download or read book Optimal Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc. Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).

Author : Howard Howan Stephen Shek
Publisher : Stanford University
ISBN 13 :
Total Pages : 133 pages
Book Rating : 4.05/5 ( download)

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Download or read book Statistical and Algorithm Aspects of Optimal Portfolios written by Howard Howan Stephen Shek and published by Stanford University. This book was released on 2011 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: We address three key aspects of optimal portfolio construction: expected return, variance-covariance modeling and optimization in presence of cardinality constraints. On expected return modeling, we extend the self-excited point process framework to model conditional arrival intensities of bid and ask side market orders of listed stocks. The cross-excitation of market orders is modeled explicitly such that the ask side market order size and bid side probability weighted order book cumulative volume can affect the ask side order intensity, and vice versa. Different variations of the framework are estimated by using method of maximum likelihood estimation, based on a recursive application of the log-likelihood functions derived in this thesis. Results indicate that the self-excited point process framework is able to capture a significant amount of the underlying trading dynamics of market orders, both in-sample and out-of-sample. A new framework is introduced, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models with a linear or log-linear specification have many attractive features. They are parsimonious, simple to estimate, and imply an ARMA structure for the conditional variance and the realized measure. An empirical application with DJIA stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads to substantial improvements in the empirical fit over standard GARCH models. Finally we describe a novel algorithm to obtain the solution of the optimal portfolio problem with NP-hard cardinality constraints. The algorithm is based on a local relaxation that exploits the inherent structure of the objective function. It solves a sequence of small, local, quadratic-programs by first projecting asset returns onto a reduced metric space, followed by clustering in this space to identify sub-groups of assets that best accentuate a suitable measure of similarity amongst different assets. The algorithm can either be cold started using the centroids of initial clusters or be warm started based on the output of a previous result. Empirical result, using baskets of up to 3,000 stocks and with different cardinality constraints, indicates that the algorithm is able to achieve significant performance gain over a sophisticated branch-and-cut method. One key application of this local relaxation algorithm is in dealing with large scale cardinality constrained portfolio optimization under tight time constraint, such as for the purpose of index tracking or index arbitrage at high frequency.

Author : Andrew W. Lo
Publisher : Princeton University Press
ISBN 13 : 0691229880
Total Pages : 416 pages
Book Rating : 4.81/5 ( download)

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Download or read book In Pursuit of the Perfect Portfolio written by Andrew W. Lo and published by Princeton University Press. This book was released on 2023-05-16 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: How the greatest thinkers in finance changed the field and how their wisdom can help investors today Is there an ideal portfolio of investment assets, one that perfectly balances risk and reward? In Pursuit of the Perfect Portfolio examines this question by profiling and interviewing ten of the most prominent figures in the finance world—Jack Bogle, Charley Ellis, Gene Fama, Marty Leibowitz, Harry Markowitz, Bob Merton, Myron Scholes, Bill Sharpe, Bob Shiller, and Jeremy Siegel. We learn about the personal and intellectual journeys of these luminaries—which include six Nobel Laureates and a trailblazer in mutual funds—and their most innovative contributions. In the process, we come to understand how the science of modern investing came to be. Each of these finance greats discusses their idea of a perfect portfolio, offering invaluable insights to today’s investors. Inspiring such monikers as the Bond Guru, Wall Street’s Wisest Man, and the Wizard of Wharton, these pioneers of investment management provide candid perspectives, both expected and surprising, on a vast array of investment topics—effective diversification, passive versus active investment, security selection and market timing, foreign versus domestic investments, derivative securities, nontraditional assets, irrational investing, and so much more. While the perfect portfolio is ultimately a moving target based on individual age and stage in life, market conditions, and short- and long-term goals, the fundamental principles for success remain constant. Aimed at novice and professional investors alike, In Pursuit of the Perfect Portfolio is a compendium of financial wisdom that no market enthusiast will want to be without.

Author : Bernhard Pfaff
Publisher : John Wiley & Sons
ISBN 13 : 1119119685
Total Pages : 448 pages
Book Rating : 4.85/5 ( download)

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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.

Author : Pengzhong Li
Publisher : BoD – Books on Demand
ISBN 13 : 1839624973
Total Pages : 244 pages
Book Rating : 4.71/5 ( download)

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Download or read book Quality Control written by Pengzhong Li and published by BoD – Books on Demand. This book was released on 2021-03-24 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quality control is changing along with the manufacturing environment. A series of revolutionary changes will occur in management contents, methods, capabilities, and real-time effectiveness and efficiency of management. As an essential factor in intelligent manufacturing, quality control systems require real and comprehensive innovation. Focused on new trends and developments in quality control from a worldwide perspective, this book presents the latest information on novel approaches in quality control. Its thirteen chapters cover three topics: intelligent manufacturing, robust design, and control charts.

Author : Stanley Fischer
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.66/5 ( download)

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Download or read book Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term written by Stanley Fischer and published by . This book was released on 1985 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimal portfolios differ according to the length of time they are held without being rebalanced. For the case in which asset returns are identically and independently distributed, it has been shown that optimal portfolios become less diversified as the holding period lengthens. We show that the anti-diversification result does not obtain when asset returns are serially correlated, and examine properties of asymptotic portfolios for the case where the short term interest rate, although known at each moment of time, may change unpredictably over time. The theoretical results provide no presumption about the effects of the length of the holding period on the optimal portfolio. Using estimated processes for stock and bill returns, we show that calculated optimal portfolios are virtually invariant to the length of the holding period. The estimated processes for asset returns also imply very little difference between portfolios calculated ignoring changes in the investment opportunity set and those obtained when the investment opportunity set changes over time.

Author : LeRoy Davis Brooks
Publisher :
ISBN 13 :
Total Pages : 246 pages
Book Rating : 4.91/5 ( download)

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Download or read book A Security Valuation Model for a Security in Optimal Portfolios written by LeRoy Davis Brooks and published by . This book was released on 1971 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Marcel-Ioan Boloș
Publisher : Infinite Study
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4./5 ( download)

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Download or read book Optimization of Financial Asset Neutrosophic Portfolios written by Marcel-Ioan Boloș and published by Infinite Study. This book was released on with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper was to model, with the help of neutrosophic fuzzy numbers, the optimal financial asset portfolios, offering additional information to those investing in the capital market. The optimal neutrosophic portfolios are those categories of portfolios consisting of two or more financial assets, modeled using neutrosophic triangular numbers, that allow for the determination of financial performance indicators, respectively the neutrosophic average, the neutrosophic risk, for each financial asset, and the neutrosophic covariance as well as the determination of the portfolio return, respectively of the portfolio risk.