456 Pages
74 B/W Illustrations
by
Chapman & Hall
456 Pages
by
Chapman & Hall
Also available as eBook on:
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... Read more
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
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
Biography
Jean-Luc Prigent
"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
