Risk Sensitive Investment Management PDF Download
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Author | : Mark H A Davis |
Publisher | : World Scientific |
Total Pages | : 414 |
Release | : 2014-07-21 |
Genre | : Business & Economics |
ISBN | : 9814578061 |
Download Risk-sensitive Investment Management Book in PDF, ePub and Kindle
Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes.With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management.This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful.
Author | : John R. Birge |
Publisher | : |
Total Pages | : 35 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Risk Sensitive Asset Management and Cascading Defaults Book in PDF, ePub and Kindle
We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults. Default events have an impact on the distress state of the surviving stocks in the portfolio. We study the recursive system of non-Lipschitz quasi-linear parabolic HJB-PDEs associated with the value function of the control problem in the different default states of the economy. We show the existence of a classical solution to this system via super-sub solution techniques and give an explicit characterization of the optimal feedback strategy in terms of the value function. We prove a verification theorem establishing the uniqueness of the solution. A numerical analysis indicates that the investor accounts for contagion effects when making investment decisions, reduces his risk exposure as he becomes more sensitive to risk, and that his strategy depends non-monotonically on the aggregate risk level.
Author | : Horand Gassmann |
Publisher | : World Scientific |
Total Pages | : 549 |
Release | : 2013 |
Genre | : Business & Economics |
ISBN | : 981440750X |
Download Stochastic Programming Book in PDF, ePub and Kindle
This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.
Author | : Harold Kent Baker |
Publisher | : Oxford University Press, USA |
Total Pages | : 709 |
Release | : 2015 |
Genre | : Business & Economics |
ISBN | : 0199331960 |
Download Investment Risk Management Book in PDF, ePub and Kindle
Investment Risk Management provides an overview of developments in risk management and a synthesis of research on the subject. The chapters examine ways to alter exposures through measuring and managing risk exposures and provide an understanding of the latest strategies and trends within risk management.
Author | : Grzegorz Andruszkiewicz |
Publisher | : |
Total Pages | : 24 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Risk-Sensitive Investment in a Market with Animal Spirits Book in PDF, ePub and Kindle
A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution to the risk-sensitive asset management criterion maximisation problem in this setting. We provide an ODE for the optimal value function, which may be efficiently solved numerically. Relevant probability measure changes are discussed in the appendix. The approach of Klebaner & Lipster (2014) is used to prove the martingale property of the relevant density processes.
Author | : Robert L. Hagin |
Publisher | : John Wiley & Sons |
Total Pages | : 322 |
Release | : 2004-02-01 |
Genre | : Business & Economics |
ISBN | : 0471483818 |
Download Investment Management Book in PDF, ePub and Kindle
A new look at the important issue of investment management in the 21st century Written for professional and private investors-as well as fiduciaries who rely on investment professionals-this book presents the content of an advanced investment-management course in an easy-to-read, question-and-answer format. Robert L. Hagin (Haverford, PA) is a 30-year investment management veteran who recently retired as Executive Director for Morgan Stanley Investment Management.
Author | : Tomasz R. Bielecki |
Publisher | : |
Total Pages | : 36 |
Release | : 1997 |
Genre | : Portfolio management |
ISBN | : |
Download Risk Sensitive Dynamic Asset Management (third Version) Book in PDF, ePub and Kindle
Author | : Bob Litterman |
Publisher | : John Wiley & Sons |
Total Pages | : 648 |
Release | : 2004-11-19 |
Genre | : Business & Economics |
ISBN | : 0471480657 |
Download Modern Investment Management Book in PDF, ePub and Kindle
Dieser Band füllt eine echte Marktlücke. "Goldman Sach's Modern Investment" gibt eine Einführung in moderne Investment Management Verfahren, wie sie von Goldman Sachs Asset Management verwendet werden, um erstklassige Investitionsrenditen zu erzielen. Erläutert werden u.a. die moderne Portfoliotheorie (Portfoliodiversifikation zur Risikostreuung), Capital Asset Pricing (Verfahren zur Ermittlung des Risiko-Rendite-Austauschverhältnisses von Finanzanlagen, bei dem der unterschiedliche Risikogehalt von Finanztiteln berücksichtigt wird) sowie eine Reihe aktueller Themen wie z.B. strategische Portfoliostrukturierung, Risikobudgetierung und aktives Portfolio Management. Hier erhalten Sie die Mittel an die Hand, um die Goldman Sachs Asset Management Methode für sich selbst umzusetzen. Das von Fischer Black und Bob Litterman gemeinsam entwickelte Black-Litterman Asset Allocation Model gehört zu den angesehensten und meist verwendeten Modellen zur Portfoliostrukturierung. Litterman und seine Asset Management Group sind oft die treibende Kraft, wenn es um Portfoliostrukturierung und Investmententscheidungen der 100 international größten Pensionsfonds geht.
Author | : Leonard C. MacLean |
Publisher | : World Scientific |
Total Pages | : 883 |
Release | : 2011 |
Genre | : Business & Economics |
ISBN | : 9814293490 |
Download The Kelly Capital Growth Investment Criterion Book in PDF, ePub and Kindle
This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.
Author | : Frances Cowell |
Publisher | : Springer |
Total Pages | : 483 |
Release | : 2013-10-31 |
Genre | : Business & Economics |
ISBN | : 113734640X |
Download Risk-Based Investment Management in Practice Book in PDF, ePub and Kindle
A practitioner's account of how investment risk affects the decisions of professional investment managers. Jargon-free, with a broad coverage of investment types and asset classes, the non-investment professional will find this book readable and accessible.