Modern Portfolio Optimization With Nuopttm S Plus And S Bayestm
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Modern Portfolio Optimization With Nuopttm S Plus And S Bayestm
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Author : Bernd Scherer
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-09-05
Modern Portfolio Optimization With Nuopttm S Plus And S Bayestm written by Bernd Scherer and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-09-05 with Business & Economics categories.
In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.
Handbook Of Energy Finance Theories Practices And Simulations
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Author : Stephane Goutte
language : en
Publisher: World Scientific
Release Date : 2020-01-30
Handbook Of Energy Finance Theories Practices And Simulations written by Stephane Goutte and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-30 with Business & Economics categories.
Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance.This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.
Financial Surveillance
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Author : Marianne Frisen
language : en
Publisher: John Wiley & Sons
Release Date : 2008-02-28
Financial Surveillance written by Marianne Frisen and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-28 with Mathematics categories.
This is the first book-length treatment of statistical surveillance methods used in financial analysis. It contains carefully selected chapters written by specialists from both fields and strikes a balance between the financial and statistical worlds, enhancing future collaborations between the two areas, and enabling more successful prediction of financial market trends. The book discusses, in detail, schemes for different control charts and different linear and nonlinear time series models and applies methods to real data from worldwide markets, as well as including simulation studies.
Efficient Asset Management
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Author : Richard O. Michaud
language : en
Publisher: Oxford University Press
Release Date : 2008-03-03
Efficient Asset Management written by Richard O. Michaud and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-03 with Business & Economics categories.
In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.