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Author: Caroline Hillairet
Publisher: Elsevier
ISBN: 0081011776
Category : Business & Economics
Languages : en
Pages : 192
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Book Description
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
Author: Caroline Hillairet
Publisher: Elsevier
ISBN: 0081011776
Category : Business & Economics
Languages : en
Pages : 192
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Book Description
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
Author: John B. Guerard
Publisher: SAS Institute
ISBN: 1635266890
Category : Computers
Languages : en
Pages : 296
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Book Description
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.
Author: Anna Aksamit
Publisher: Springer
ISBN: 3319412558
Category : Mathematics
Languages : en
Pages : 155
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Book Description
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.
Author: Jean-Michel Morel
Publisher: Springer Nature
ISBN: 3031122445
Category : Mathematics
Languages : en
Pages : 629
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Book Description
This volume is an original collection of articles by 44 leading mathematicians on the theme of the future of the discipline. The contributions range from musings on the future of specific fields, to analyses of the history of the discipline, to discussions of open problems and conjectures, including first solutions of unresolved problems. Interestingly, the topics do not cover all of mathematics, but only those deemed most worthy to reflect on for future generations. These topics encompass the most active parts of pure and applied mathematics, including algebraic geometry, probability, logic, optimization, finance, topology, partial differential equations, category theory, number theory, differential geometry, dynamical systems, artificial intelligence, theory of groups, mathematical physics and statistics.
Author: Chao Gao
Publisher: Frontiers Media SA
ISBN: 2889769607
Category : Science
Languages : en
Pages : 252
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Book Description
Author: Antonio Daniel Silva
Publisher: Springer
ISBN: 3319293923
Category : Technology & Engineering
Languages : en
Pages : 108
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Book Description
This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage
Author: Carlos M. Fonseca
Publisher: Springer Science & Business Media
ISBN: 3540018697
Category : Business & Economics
Languages : en
Pages : 825
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Book Description
This book constitutes the refereed proceedings of the Second International Conference on Evolutionary Multi-Criterion Optimization, EMO 2003, held in Faro, Portugal, in April 2003. The 56 revised full papers presented were carefully reviewed and selected from a total of 100 submissions. The papers are organized in topical sections on objective handling and problem decomposition, algorithm improvements, online adaptation, problem construction, performance analysis and comparison, alternative methods, implementation, and applications.
Author: Shan Rajegopal
Publisher: Springer
ISBN: 1137023341
Category : Business & Economics
Languages : en
Pages : 270
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Book Description
In Portfolio Management , Shan Rajegopal, a leading authority on innovation and project portfolio management, provides an integrated project portfolio management framework which links innovation, investment and implementation. A successful tried and tested method, this blueprint will be a hands-on guide for business executives.
Author: Renata Mansini
Publisher: Springer
ISBN: 3319184822
Category : Business & Economics
Languages : en
Pages : 131
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Book Description
This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Author:
Publisher: ScholarlyEditions
ISBN: 1464967792
Category : Computers
Languages : en
Pages : 153
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Book Description
Issues in Information Science: Information Technology, Systems, and Security: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Information Science—Information Technology, Systems, and Security. The editors have built Issues in Information Science: Information Technology, Systems, and Security: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Information Science—Information Technology, Systems, and Security in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Information Science: Information Technology, Systems, and Security: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
