Optimal S L Portfolio Decisions And Linear Programming
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Optimal S L Portfolio Decisions And Linear Programming
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Author : Josephine Matilda McElhone
language : en
Publisher:
Release Date : 1970
Optimal S L Portfolio Decisions And Linear Programming written by Josephine Matilda McElhone and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with Bank management categories.
Linear And Mixed Integer Programming For Portfolio Optimization
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Author : Renata Mansini
language : en
Publisher: Springer
Release Date : 2015-06-10
Linear And Mixed Integer Programming For Portfolio Optimization written by Renata Mansini and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-10 with Business & Economics categories.
This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Optimal Portfolio Selection Using Linear Programming
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Author : Matt Waggener
language : en
Publisher:
Release Date : 1991
Optimal Portfolio Selection Using Linear Programming written by Matt Waggener and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Portfolio Optimization
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Author : Michael J. Best
language : en
Publisher: CRC Press
Release Date : 2010-03-09
Portfolio Optimization written by Michael J. Best and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-09 with Mathematics categories.
Eschewing a more theoretical approach, Portfolio Optimization shows how the mathematical tools of linear algebra and optimization can quickly and clearly formulate important ideas on the subject. This practical book extends the concepts of the Markowitz "budget constraint only" model to a linearly constrained model. Only requiring elementary linear algebra, the text begins with the necessary and sufficient conditions for optimal quadratic minimization that is subject to linear equality constraints. It then develops the key properties of the efficient frontier, extends the results to problems with a risk-free asset, and presents Sharpe ratios and implied risk-free rates. After focusing on quadratic programming, the author discusses a constrained portfolio optimization problem and uses an algorithm to determine the entire (constrained) efficient frontier, its corner portfolios, the piecewise linear expected returns, and the piecewise quadratic variances. The final chapter illustrates infinitely many implied risk returns for certain market portfolios. Drawing on the author’s experiences in the academic world and as a consultant to many financial institutions, this text provides a hands-on foundation in portfolio optimization. Although the author clearly describes how to implement each technique by hand, he includes several MATLAB® programs designed to implement the methods and offers these programs on the accompanying CD-ROM.
Finding Optimal Options Portfolio With Linear Programming
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Author : Yaron Aharonov
language : en
Publisher:
Release Date : 2006
Finding Optimal Options Portfolio With Linear Programming written by Yaron Aharonov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Investments categories.
Stochastic Optimization Models In Finance
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Author : W. T. Ziemba
language : en
Publisher: World Scientific
Release Date : 2006
Stochastic Optimization Models In Finance written by W. T. Ziemba and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever. Sample Chapter(s). Chapter 1: Expected Utility Theory (373 KB). Contents: Mathematical Tools: Expected Utility Theory; Convexity and the Kuhn-Tucker Conditions; Dynamic Programming; Qualitative Economic Results: Stochastic Dominance; Measures of Risk Aversion; Separation Theorems; Static Portfolio Selection Models: Mean-Variance and Safety First Approaches and Their Extensions; Existence and Diversification of Optimal Portfolio Policies: Effects of Taxes on Risk Taking; Dynamic Models Reducible to Static Models: Models That Have a Single Decision Point; Risk Aversion over Time Implies Static Risk Aversion; Myopic Portfolio Policies; Dynamic Models: Two-Period Consumption Models and Portfolio Revision; Models of Optimal Capital Accumulation and Portfolio Selection; Models of Option Strategy; The Capital Growth Criterion and Continuous-Time Models. Readership: Postdoctoral and graduate students, researchers, academics, and professionals interested in portfolio theory and stochastic optimization.
The Selection Of Optimal Premium Mix And Investment Portfolio Via Chance Constrained Programming And Two Phase Optimization Criterion
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Author : Bob Li
language : en
Publisher:
Release Date : 1972
The Selection Of Optimal Premium Mix And Investment Portfolio Via Chance Constrained Programming And Two Phase Optimization Criterion written by Bob Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with Investment banking categories.
Optimization Of Risk In Portfolio Allocation Using Linear Programming
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Author : Jenny Lyn Starnes
language : en
Publisher:
Release Date : 2004
Optimization Of Risk In Portfolio Allocation Using Linear Programming written by Jenny Lyn Starnes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Linear programming categories.
Multi Objective Linear Programming In Portfolio Selection
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Author : Gayatri Biswal
language : en
Publisher:
Release Date : 2017
Multi Objective Linear Programming In Portfolio Selection written by Gayatri Biswal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Portfolio theory originally proposed by Markowitz is based on the assumption that the utility of an investor is a function of two factors, viz., mean and variance (or standard deviation) of return. However, the single index model of Sharpe is a statistical representation of return generating process that expresses return on stock in the form of a regression equation. Literature review on investment portfolio management shows that Sharpe's coefficient is the most commonly used performance measure in the determination of optimal portfolio. Sharpe's model is a linear programming model of the problem considering as the measure of risk. The present paper, building on the above model, proposes a multi-objective linear programming portfolio selection model that ensures a nondominated solution on the efficient frontier based on the outputs of the single index model. Taking Dow Jones Industrial Average (DJIA) as the market index and considering monthly indices along with the monthly prices of 28 securities for the period from March 1999 to March 2015, this model solves a practical portfolio selection problem in a multi-objective framework. The proposed model also shows its superiority over Sharpe's single index model.
A Minimax Portfolio Selection Rule With Linear Programming Solution
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Author : Martin R. Young
language : en
Publisher:
Release Date : 1996
A Minimax Portfolio Selection Rule With Linear Programming Solution written by Martin R. Young and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Chebyshev approximation categories.