Uncertain Portfolio Optimization PDF Download
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Author | : Zhongfeng Qin |
Publisher | : Springer |
Total Pages | : 192 |
Release | : 2016-09-16 |
Genre | : Business & Economics |
ISBN | : 9811018103 |
Download Uncertain Portfolio Optimization Book in PDF, ePub and Kindle
This book provides a new modeling approach for portfolio optimization problems involving a lack of sufficient historical data. The content mainly reflects the author’s extensive work on uncertainty portfolio optimization in recent years. Considering security returns as different variables, the book presents a series of portfolio optimization models in the framework of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and up-to-date guide to uncertain portfolio optimization models.
Author | : Pankaj Gupta |
Publisher | : Springer |
Total Pages | : 329 |
Release | : 2014-03-17 |
Genre | : Technology & Engineering |
ISBN | : 3642546528 |
Download Fuzzy Portfolio Optimization Book in PDF, ePub and Kindle
This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical mean–variance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuing advanced research and/or engaged in practical issues in the rapidly evolving field of portfolio optimization.
Author | : Yuanguo Zhu |
Publisher | : Springer |
Total Pages | : 208 |
Release | : 2018-08-29 |
Genre | : Technology & Engineering |
ISBN | : 9811321345 |
Download Uncertain Optimal Control Book in PDF, ePub and Kindle
This book introduces the theory and applications of uncertain optimal control, and establishes two types of models including expected value uncertain optimal control and optimistic value uncertain optimal control. These models, which have continuous-time forms and discrete-time forms, make use of dynamic programming. The uncertain optimal control theory relates to equations of optimality, uncertain bang-bang optimal control, optimal control with switched uncertain system, and optimal control for uncertain system with time-delay. Uncertain optimal control has applications in portfolio selection, engineering, and games. The book is a useful resource for researchers, engineers, and students in the fields of mathematics, cybernetics, operations research, industrial engineering, artificial intelligence, economics, and management science.
Author | : Jean-Luc Prigent |
Publisher | : CRC Press |
Total Pages | : 451 |
Release | : 2007-05-07 |
Genre | : Business & Economics |
ISBN | : 142001093X |
Download Portfolio Optimization and Performance Analysis Book in PDF, ePub and Kindle
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
Author | : Yong Fang |
Publisher | : Springer Science & Business Media |
Total Pages | : 170 |
Release | : 2008-09-20 |
Genre | : Business & Economics |
ISBN | : 3540779264 |
Download Fuzzy Portfolio Optimization Book in PDF, ePub and Kindle
Most of the existing portfolio selection models are based on the probability theory. Though they often deal with the uncertainty via probabilistic - proaches, we have to mention that the probabilistic approaches only partly capture the reality. Some other techniques have also been applied to handle the uncertainty of the ?nancial markets, for instance, the fuzzy set theory [Zadeh (1965)]. In reality, many events with fuzziness are characterized by probabilistic approaches, although they are not random events. The fuzzy set theory has been widely used to solve many practical problems, including ?nancial risk management. By using fuzzy mathematical approaches, quan- tative analysis, qualitative analysis, the experts’ knowledge and the investors’ subjective opinions can be better integrated into a portfolio selection model. The contents of this book mainly comprise of the authors’ research results for fuzzy portfolio selection problems in recent years. In addition, in the book, the authors will also introduce some other important progress in the ?eld of fuzzy portfolio optimization. Some fundamental issues and problems of po- folioselectionhavebeenstudiedsystematicallyandextensivelybytheauthors to apply fuzzy systems theory and optimization methods. A new framework for investment analysis is presented in this book. A series of portfolio sel- tion models are given and some of them might be more e?cient for practical applications. Some application examples are given to illustrate these models by using real data from the Chinese securities markets.
Author | : Woo Chang Kim |
Publisher | : John Wiley & Sons |
Total Pages | : 256 |
Release | : 2015-11-25 |
Genre | : Business & Economics |
ISBN | : 111879737X |
Download Robust Equity Portfolio Management Book in PDF, ePub and Kindle
A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to allow readers of all levels to begin implementing robust models immediately, with detailed explanations and applications in the equity market included to help you grasp the real-world use of each technique. The discussion includes the most up-to-date thinking and cutting-edge methods, including a much-needed alternative to the traditional Markowitz mean-variance model. Unparalleled in depth and breadth, this book is an invaluable reference for all risk managers, portfolio managers, and analysts. Portfolio construction models originating from the standard Markowitz mean-variance model have a high input sensitivity that threatens optimization, spawning a flurry of research into new analytic techniques. This book covers the latest developments along with the basics, to give you a truly comprehensive understanding backed by a robust, practical skill set. Get up to speed on the latest developments in portfolio optimization Implement robust models using provided MATLAB code Learn advanced optimization methods with equity portfolio applications Understand the formulations, performances, and properties of robust portfolios The Markowitz mean-variance model remains the standard framework for portfolio optimization, but the interest in—and need for—an alternative is rapidly increasing. Resolving the sensitivity issue and dramatically reducing portfolio risk is a major focus of today's portfolio manager. Robust Equity Portfolio Management + Website provides a viable alternative framework, and the hard skills to implement any optimization method.
Author | : Frank J. Fabozzi |
Publisher | : John Wiley & Sons |
Total Pages | : 513 |
Release | : 2007-04-27 |
Genre | : Business & Economics |
ISBN | : 0470164891 |
Download Robust Portfolio Optimization and Management Book in PDF, ePub and Kindle
Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University
Author | : Harry Markowitz |
Publisher | : Yale University Press |
Total Pages | : 369 |
Release | : 2008-10-01 |
Genre | : Business & Economics |
ISBN | : 0300013728 |
Download Portfolio Selection Book in PDF, ePub and Kindle
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Author | : Svetlozar T. Rachev |
Publisher | : Wiley |
Total Pages | : 0 |
Release | : 2008-02-25 |
Genre | : Business & Economics |
ISBN | : 9780470053164 |
Download Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization Book in PDF, ePub and Kindle
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.
Author | : Svetlozar T. Rachev |
Publisher | : John Wiley & Sons |
Total Pages | : 404 |
Release | : 2011-04-22 |
Genre | : Business & Economics |
ISBN | : 111808618X |
Download Risk and Uncertainty Book in PDF, ePub and Kindle
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement. Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.