Portfolio Optimization and Performance Analysis: 1st Edition (Hardback) book cover

Portfolio Optimization and Performance Analysis

1st Edition

By Jean-Luc Prigent

Chapman and Hall/CRC

456 pages | 74 B/W Illus.

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Hardback: 9781584885788
pub: 2007-05-07
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pub: 2007-05-07
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Description

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, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization.

Divided into four sections that mirror the book's aims, this resource first describes the fundamental results of decision theory, including utility maximization and risk measure minimization. Covering both active and passive portfolio management, the second part discusses standard portfolio optimization and performance measures. The book subsequently introduces dynamic portfolio optimization based on stochastic control and martingale theory. It also outlines portfolio optimization with market frictions, such as incompleteness, transaction costs, labor income, and random time horizon. The final section applies theoretical results to practical portfolio optimization, including structured portfolio management. It details portfolio insurance methods as well as performance measures for alternative investments, such as hedge funds.

Taking into account the different features of portfolio management theory, this book promotes a thorough understanding for students and professionals in the field.

Reviews

"The book will be interesting both to academic and professional readers, for it well introduces modern portfolio problems, which can be studied theoretically and/or practically."

Mathematical Reviews

"…the text is easy to follow. The illustrations provided nicely blend with the theory and discussions. … the book should be very attractive to graduate students with an interest in portfolio theory and researchers in the specified field. …"

MAA Reviews, July 2008

Table of Contents

UTILITY AND RISK ANALYSIS

Utility Theory

Preferences under uncertainty

Expected utility

Risk aversion

Stochastic dominance

Alternative expected utility theory

Risk Measures

Coherent and convex risk measures

Standard risk measures

STANDARD PORTFOLIO OPTIMIZATION

Static Optimization

Mean-variance analysis

Alternative criteria

Further reading

Indexed Funds and Benchmarking

Indexed funds

Benchmark portfolio optimization

Further reading

Portfolio Performance

Standard performance measures

Performance decomposition

Further reading

DYNAMIC PORTFOLIO OPTIMIZATION

Dynamic Programming Optimization

Control theory

Lifetime portfolio selection

Further reading

Optimal Payoff Profiles and Long-Term Management

Optimal payoffs as functions of a benchmark

Application to long-term management

Further reading

Optimization within Specific Markets

Optimization in incomplete markets

Optimization with constraints

Optimization with transaction costs

Other frameworks

Further reading

STRUCTURED PORTFOLIO MANAGEMENT

Portfolio Insurance

The option-based portfolio insurance

The constant proportion portfolio insurance

Comparison between OBPI and CPPI

Further reading

Optimal Dynamic Portfolio with Risk Limits

Optimal insured portfolio: discrete-time case

Optimal insured portfolio: the dynamically complete case

Value-at-risk and expected shortfall-based management

Further reading

Hedge Funds

The hedge funds industry

Hedge funds performance

Optimal allocation in hedge funds

Further reading

References

About the Series

Chapman and Hall/CRC Financial Mathematics Series

Learn more…

Subject Categories

BISAC Subject Codes/Headings:
BUS027000
BUSINESS & ECONOMICS / Finance
MAT000000
MATHEMATICS / General
MAT029000
MATHEMATICS / Probability & Statistics / General