Portfolio Optimization and Performance Analysis
eBook - PDF

Portfolio Optimization and Performance Analysis

Jean-Luc Prigent

  1. 456 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Portfolio Optimization and Performance Analysis

Jean-Luc Prigent

Book details
Table of contents
Citations

About This Book

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, cont

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Information

Publisher
Chapman and Hall/CRC
Year
2007
ISBN
9781420010930
Edition
1
Topic
Mathematics
Subtopic
Mathematics General
Index
Mathematics

Table of contents

  1. Cover
  2. Title
  3. Copyright
  4. Preface
  5. Contents
  6. List of Tables
  7. List of Figures
  8. Part I: Utility and risk analysis
  9. Chapter 1: Utility theory
  10. Chapter 2: Risk measures
  11. Part II: Standard portfolio optimization
  12. Chapter 3: Static optimization
  13. Chapter 4: Indexed funds and benchmarking
  14. Chapter 5: Portfolio performance
  15. Part III: Dynamic portfolio optimization
  16. Chapter 6: Dynamic programming optimization
  17. Chapter 7: Optimal payoff profiles and long-term management
  18. Chapter 8: Optimization within specific markets
  19. Part IV: Structured portfolio management
  20. Chapter 9: Portfolio insurance
  21. Chapter 10: Optimal dynamic portfolio with risk limits
  22. Chapter 11: Hedge funds
  23. Appendix A: Appendix A: Arch Models
  24. Appendix B: Appendix B: Stochastic Processes
  25. References
  26. Symbol Description
  27. Index