New Models And Methods In Dynamic Portfolio Optimization
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New Models And Methods In Dynamic Portfolio Optimization
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Author : Lijun Bo
language : en
Publisher: World Scientific
Release Date : 2025-06-04
New Models And Methods In Dynamic Portfolio Optimization written by Lijun Bo and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-06-04 with Business & Economics categories.
This book presents some new models and methods in the context of dynamical portfolio optimization. It encapsulates the authors' recent progress in their research on several interesting, featured issues of dynamic portfolio optimization problems with default contagion, tracking benchmark, consumption habit, and reinforcement learning.These models include the default contagion model with infinite regime-switching under complete information and partial information; portfolio optimization model with consumption habit formation; optimal tracking model; extended Merton's problem with relaxed benchmark tracking and reinforcement learning of tracking portfolio.The methods for addressing these problems are by developing the monotone dynamical system, martingale representation theorem under partial information, quadratic BSDE with jumps, duality method, decomposition-homogenization technique of Neumann problem, stochastic flow, and q-function learning with state reflection. For the sake of the reader's convenience, preliminary knowledge on stochastic analysis and stochastic control are summarized in Chapters 2 and 3, which also serve as a brief basic introduction to the theory of SDEs, BSDEs, and the theory of optimal stochastic control.The book will be a good reference for graduate students and researchers working on stochastic control and mathematical finance. The reader may pursue some presented research problems and be inspired to formulate and study other new and interesting problems in dynamic portfolio optimization and beyond.
New Models And Methods In Dynamic Portfolio Optimization
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Author : Lijun Bo
language : en
Publisher:
Release Date : 2025-03-28
New Models And Methods In Dynamic Portfolio Optimization written by Lijun Bo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-03-28 with Business & Economics categories.
This book presents some new models and methods in the context of dynamical portfolio optimization. It encapsulates the authors' recent progress in their research on several interesting, featured issues of dynamic portfolio optimization problems with default contagion, tracking benchmark, consumption habit, and model uncertainty.For the sake of the reader's convenience, preliminary knowledge on stochastic analysis and stochastic control are summarized in Chapters 2 and 3, which also serve as a brief basic introduction to the theory of SDEs, BSDEs, and the theory of optimal stochastic control.The book will be a good reference for graduate students and researchers working on stochastic control and mathematical finance. The reader may pursue some presented research problems and be inspired to formulate and study other new and interesting problems in dynamic portfolio optimization and beyond.
Dynamic Portfolio Theory And Management
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Author : Richard E. Oberuc
language : en
Publisher: McGraw Hill Professional
Release Date : 2004
Dynamic Portfolio Theory And Management written by Richard E. Oberuc and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.
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Generative Ai For Trading And Asset Management
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Author : Hamlet Medina
language : en
Publisher: John Wiley & Sons
Release Date : 2025-05-06
Generative Ai For Trading And Asset Management written by Hamlet Medina 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 2025-05-06 with Business & Economics categories.
Expert guide on using AI to supercharge traders' productivity, optimize portfolios, and suggest new trading strategies Generative AI for Trading and Asset Management is an essential guide to understand how generative AI has emerged as a transformative force in the realm of asset management, particularly in the context of trading, due to its ability to analyze vast datasets, identify intricate patterns, and suggest complex trading strategies. Practically, this book explains how to utilize various types of AI: unsupervised learning, supervised learning, reinforcement learning, and large language models to suggest new trading strategies, manage risks, optimize trading strategies and portfolios, and generally improve the productivity of algorithmic and discretionary traders alike. These techniques converge into an algorithm to trade on the Federal Reserve chair's press conferences in real time. Written by Hamlet Medina, chief data scientist Criteo, and Ernie Chan, founder of QTS Capital Management and Predictnow.ai, this book explores topics including: How large language models and other machine learning techniques can improve productivity of algorithmic and discretionary traders from ideation, signal generations, backtesting, risk management, to portfolio optimization The pros and cons of tree-based models vs neural networks as they relate to financial applications. How regularization techniques can enhance out of sample performance Comprehensive exploration of the main families of explicit and implicit generative models for modeling high-dimensional data, including their advantages and limitations in model representation and training, sampling quality and speed, and representation learning. Techniques for combining and utilizing generative models to address data scarcity and enhance data augmentation for training ML models in financial applications like market simulations, sentiment analysis, risk management, and more. Application of generative AI models for processing fundamental data to develop trading signals. Exploration of efficient methods for deploying large models into production, highlighting techniques and strategies to enhance inference efficiency, such as model pruning, quantization, and knowledge distillation. Using existing LLMs to translate Federal Reserve Chair's speeches to text and generate trading signals. Generative AI for Trading and Asset Management earns a well-deserved spot on the bookshelves of all asset managers seeking to harness the ever-changing landscape of AI technologies to navigate financial markets.
Mathematical Modelling And Numerical Methods In Finance
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Author : Alain Bensoussan
language : en
Publisher: Elsevier
Release Date : 2009-06-16
Mathematical Modelling And Numerical Methods In Finance written by Alain Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-16 with Mathematics categories.
Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field
Modeling And Control Of Economic Systems 2001
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Author : R. Neck
language : en
Publisher: Elsevier
Release Date : 2003-05-21
Modeling And Control Of Economic Systems 2001 written by R. Neck and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-05-21 with Business & Economics categories.
This volume contains papers presented at the IFAC symposium on Modeling and control of Economic Systems (SME 2001), which was held at the university of Klagenfurt, Austria. The symposium brought together scientists and users to explore current theoretical developments of modeling techniques for economic systems. It contains a section of plenary, invited and contributed papers presented at the SME 2001 symposium. The papers presented in this volume reflect advances both in methodology and in applications in the area of modeling and control of economic systems.
Finance At Fields
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Author : Matheus R. Grasselli
language : en
Publisher: World Scientific
Release Date : 2013
Finance At Fields written by Matheus R. Grasselli and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
This outstanding collection of articles includes papers presented at the Fields Institute, Toronto, as part of the Thematic Program in Quantitative Finance that took place in the first six months of the year 2010. The scope of the volume is very broad, with papers on foundational issues in mathematical finance, papers on computational finance, and papers on derivatives and risk management. Many of the articles contain path-breaking insights that are relevant to the developing new order of post-crisis financial risk management.
Handbook Of Analytic Computational Methods In Applied Mathematics
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Author : George Anastassiou
language : en
Publisher: CRC Press
Release Date : 2019-06-03
Handbook Of Analytic Computational Methods In Applied Mathematics written by George Anastassiou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-03 with Mathematics categories.
Working computationally in applied mathematics is the very essence of dealing with real-world problems in science and engineering. Approximation theory-on the borderline between pure and applied mathematics- has always supplied some of the most innovative ideas, computational methods, and original approaches to many types of problems. The f
Artificial Intelligence Techniques For Rational Decision Making
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Author : Tshilidzi Marwala
language : en
Publisher: Springer
Release Date : 2014-10-20
Artificial Intelligence Techniques For Rational Decision Making written by Tshilidzi Marwala and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-20 with Computers categories.
Develops insights into solving complex problems in engineering, biomedical sciences, social science and economics based on artificial intelligence. Some of the problems studied are in interstate conflict, credit scoring, breast cancer diagnosis, condition monitoring, wine testing, image processing and optical character recognition. The author discusses and applies the concept of flexibly-bounded rationality which prescribes that the bounds in Nobel Laureate Herbert Simon’s bounded rationality theory are flexible due to advanced signal processing techniques, Moore’s Law and artificial intelligence. Artificial Intelligence Techniques for Rational Decision Making examines and defines the concepts of causal and correlation machines and applies the transmission theory of causality as a defining factor that distinguishes causality from correlation. It develops the theory of rational counterfactuals which are defined as counterfactuals that are intended to maximize the attainment of a particular goal within the context of a bounded rational decision making process. Furthermore, it studies four methods for dealing with irrelevant information in decision making: Theory of the marginalization of irrelevant information Principal component analysis Independent component analysis Automatic relevance determination method In addition it studies the concept of group decision making and various ways of effecting group decision making within the context of artificial intelligence. Rich in methods of artificial intelligence including rough sets, neural networks, support vector machines, genetic algorithms, particle swarm optimization, simulated annealing, incremental learning and fuzzy networks, this book will be welcomed by researchers and students working in these areas.
Experimenting With Dynamic Macromodels
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Author : PierCarlo Nicola
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-02-01
Experimenting With Dynamic Macromodels written by PierCarlo Nicola 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 2008-02-01 with Business & Economics categories.
This book presents a macroeconomic dynamic model à la Solow-Swan, including the market for labor, in a discrete time structure. The model is expanded to include expenditure on R&D and public expenditure on infrastructure. For each of the three models the results are shown in time series figures, which demonstrate that even small changes in the parameters produce responses in the time behavior of the main variables: from steady growth, to regular cycles, to chaotic-like time paths.