Portfolio Optimization and Performance Analysis PDF
By:Jean-Luc Prigent
Published on 2007-05-07 by CRC Press
In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization. Divided into four sections that mirror the book's aims, this resource first describes the fundamental results of decision theory, including utility maximization and risk measure minimization. Covering both active and passive portfolio management, the second part discusses standard portfolio optimization and performance measures. The book subsequently introduces dynamic portfolio optimization based on stochastic control and martingale theory. It also outlines portfolio optimization with market frictions, such as incompleteness, transaction costs, labor income, and random time horizon. The final section applies theoretical results to practical portfolio optimization, including structured portfolio management. It details portfolio insurance methods as well as performance measures for alternative investments, such as hedge funds. Taking into account the different features of portfolio management theory, this book promotes a thorough understanding for students and professionals in the field.
This Book was ranked at 28 by Google Books for keyword Insurance Risk Management novel.
Book ID of Portfolio Optimization and Performance Analysis's Books is IT8IdJlPeKkC, Book which was written byJean-Luc Prigenthave ETAG "V9DlR8caa3A"
Book which was published by CRC Press since 2007-05-07 have ISBNs, ISBN 13 Code is 9781420010930 and ISBN 10 Code is 142001093X
Reading Mode in Text Status is false and Reading Mode in Image Status is true
Book which have "456 Pages" is Printed at BOOK under CategoryMathematics
Book was written in en
eBook Version Availability Status at PDF is true and in ePub is false
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Download Portfolio Optimization and Performance Analysis Books Free
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Download Portfolio Optimization and Performance Analysis PDF
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