Author: Leonard C Maclean
Publisher: World Scientific
ISBN: 981441736X
Category : Business & Economics
Languages : en
Pages : 941
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Book Description
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2nd edition published in 2006).
Author: Erricos Kontoghiorghes
Publisher: Springer Science & Business Media
ISBN: 3540366261
Category : Computers
Languages : en
Pages : 275
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Book Description
This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modeling, emphasizing computational optimisation methods and techniques. The first part addresses optimisation problems and decision modeling, plus applications of supply chain and worst-case modeling and advances in methodological aspects of optimisation techniques. The second part covers optimisation heuristics, filtering, signal extraction and time series models. The final part discusses optimisation in portfolio selection and real option modeling.
Author: Steven E. Pav
Publisher: CRC Press
ISBN: 1000442764
Category : Business & Economics
Languages : en
Pages : 353
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Book Description
The Sharpe Ratio: Statistics and Applications is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical properties of the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns, and asymptotically. Connections are drawn between the financial measures and classical statistics including Student's t, Hotelling's T^2 and the Hotelling-Lawley trace. The robustness of these statistics to heteroskedasticity, autocorrelation, fat tails and skew of returns are considered. The construction of portfolios to maximize the Sharpe is expanded from the usual static unconditional model to include subspace constraints, hedging out assets, and the use of conditioning information on both expected returns and risk. The Sharpe Ratio: Statistics and Applications is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: 1. Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. 2. Inference via both Frequentist and Bayesian paradigms. 3. A comprehensive treatment of overoptimism and overfitting of trading strategies. 4. Advice on backtesting strategies. 5. Dozens of examples and hundreds of exercises for self study. The Sharpe Ratio: Statistics and Applications is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student.
Author: David Ardia
Publisher: Springer Science & Business Media
ISBN: 3540786570
Category : Business & Economics
Languages : en
Pages : 206
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Book Description
This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
Author: Robert A. Meyers
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919
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Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author: Sergii Babichev
Publisher: Springer Nature
ISBN: 3030820149
Category : Technology & Engineering
Languages : en
Pages : 805
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Book Description
This book is devoted to current problems of artificial and computational intelligence including decision-making systems. Collecting, analysis, and processing information are the current directions of modern computer science. Development of new modern information and computer technologies for data analysis and processing in various fields of data mining and machine learning creates the conditions for increasing effectiveness of the information processing by both the decrease of time and the increase of accuracy of the data processing. The book contains of 54 science papers which include the results of research concerning the current directions in the fields of data mining, machine learning, and decision making. The papers are divided in terms of their topic into three sections. The first section "Analysis and Modeling of Complex Systems and Processes" contains of 26 papers, and the second section "Theoretical and Applied Aspects of Decision-Making Systems" contains of 13 papers. There are 15 papers in the third section "Computational Intelligence and Inductive Modeling". The book is focused to scientists and developers in the fields of data mining, machine learning and decision-making systems.
Author: Sabri Boubaker
Publisher: Edward Elgar Publishing
ISBN: 1786432633
Category : Business & Economics
Languages : en
Pages : 681
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Book Description
The severe consequences of the global financial crisis 2008-2009 and numerous accounting frauds and financial scandals over the last fifteen years have let to calls for more ethical and responsible actions in all economic activities including consumption, investing, governance and regulation. Despite the fact that ethics in business and corporate social responsibility rules have been adopted in various countries, more efforts have to be devoted to motivate and empower more actors to integrate ethical behavior and rules in making business and managerial decisions. The Research Handbook of Finance and Sustainability will provide the readers but particularly investors, managers, and policymakers with comprehensive coverage of the issues at the crossroads of finance, ethics and sustainable development as well as proposed solutions, while focusing on three different levels: corporations, investment funds, and financial markets.
Author: Lin Zhang
Publisher: Springer
ISBN: 9811026726
Category : Computers
Languages : en
Pages : 580
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Book Description
This four-volume set (CCIS 643, 644, 645, 646) constitutes the refereed proceedings of the 16th Asia Simulation Conference and the First Autumn Simulation Multi-Conference, AsiaSim / SCS AutumnSim 2016, held in Beijing, China, in October 2016. The 265 revised full papers presented were carefully reviewed and selected from 651 submissions. The papers in this fourth volume of the set are organized in topical sections on Modeling and Simulation Applications; Simulation Software; Social Simulations; Verification, Validation and Accreditation.
Author:
Publisher:
ISBN:
Category : Agriculture
Languages : en
Pages : 434
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Book Description
Author: Luc Renneboog
Publisher: Emerald Group Publishing
ISBN: 0444527230
Category : Business & Economics
Languages : en
Pages : 569
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Book Description
Incorporates estimation risk in portfolio choice and also covers a risk measure for retail investment products, understanding and exploiting momentum in stock returns. This book includes: Introduction - Corporate restructuring; mergers and acquisitions in Europe; and the performance of acquisitive companies in the US.
