Portfolio Choice Problems
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Portfolio Choice Problems
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Author : Nicolas Chapados
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-07-12
Portfolio Choice Problems written by Nicolas Chapados 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 2011-07-12 with Computers categories.
This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.
Adequate Decision Rules For Portfolio Choice Problems
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Author : T. Goodall
language : en
Publisher: Springer
Release Date : 2002-04-30
Adequate Decision Rules For Portfolio Choice Problems written by T. Goodall and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-04-30 with Business & Economics categories.
The author presents the theory of portfolio choice from a new perspective, recommending decision rules that have advantages over those currently used in theory and practice. Portfolio choice theory relies on expected values. Goodall argues that this dependence has a historical basis and argues that current decision rules are inadequate for most portfolio choice situations. Drawing on econometric solutions proposed for the problem of forecasting outcomes of a chance experiment, the author defines adequacy criteria, and proposes adequate decision rules for a variety of situations. Goodall's theory combines the problems of prediction and choice, and formulates solutions based on cost functions that fit the underlying decision situation.
Strategic Asset Allocation
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Author : John Y. Campbell
language : en
Publisher: OUP Oxford
Release Date : 2002-01-03
Strategic Asset Allocation written by John Y. Campbell and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-01-03 with Business & Economics categories.
Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Mean Variance Analysis In Portfolio Choice And Capital Markets
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Author : Harry M. Markowitz
language : en
Publisher: John Wiley & Sons
Release Date : 2000-02-15
Mean Variance Analysis In Portfolio Choice And Capital Markets written by Harry M. Markowitz 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 2000-02-15 with Business & Economics categories.
In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
An Exact Solution To The Portfolio Choice Problem Under Transactions Costs
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Author : Bernard Dumas
language : en
Publisher:
Release Date : 1989
An Exact Solution To The Portfolio Choice Problem Under Transactions Costs written by Bernard Dumas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
Asset Pricing And Portfolio Choice Theory
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Author : Kerry Back
language : en
Publisher: Oxford University Press
Release Date : 2010-09-10
Asset Pricing And Portfolio Choice Theory written by Kerry Back 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 2010-09-10 with Business & Economics categories.
In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
The Standard Portfolio Choice Problem In Germany
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Author : Tobias Schmidt
language : en
Publisher:
Release Date : 2014
The Standard Portfolio Choice Problem In Germany written by Tobias Schmidt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Portfolio Selection And Asset Pricing Models Of Financial Economics And Their Applications In Investing
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Author : Jamil Baz
language : en
Publisher: McGraw Hill Professional
Release Date : 2022-09-06
Portfolio Selection And Asset Pricing Models Of Financial Economics And Their Applications In Investing written by Jamil Baz 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 2022-09-06 with Business & Economics categories.
This uniquely comprehensive guide provides expert insights into everything from financial mathematics to the practical realities of asset allocation and pricing Investors like you typically have a choice to make when seeking guidance for portfolio selection―either a book of practical, hands-on approaches to your craft or an academic tome of theories and mathematical formulas. From three top experts, Portfolio Selection and Asset Pricing strikes the right balance with an extensive discussion of mathematical foundations of portfolio choice and asset pricing models, and the practice of asset allocation. This thorough guide is conveniently organized into four sections: Mathematical Foundations―normed vector spaces, optimization in discrete and continuous time, utility theory, and uncertainty Portfolio Models―single-period and continuous-time portfolio choice, analogies, asset allocation for a sovereign as an example, and liability-driven allocation Asset Pricing―capital asset pricing models, factor models, option pricing, and expected returns Robust Asset Allocation―robust estimation of optimization inputs, such as the Black-Litterman Model and shrinkage, and robust optimizers Whether you are a sophisticated investor or advanced graduate student, this high-level title combines rigorous mathematical theory with an emphasis on practical implementation techniques.
Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making
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Author : Leonard C MacLean
language : en
Publisher: World Scientific Publishing Company
Release Date : 2016-09-29
Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making written by Leonard C MacLean and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-29 with categories.
This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation. This material could be used with important books that cover these topics including MacLean-Ziemba's The Handbook of the Fundamentals of Financial Decision Making, and Ziemba-Vickson's Stochastic Optimization Models in Finance.
Risk Aversion And Portfolio Choice
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Author : Donald D. Hester
language : en
Publisher:
Release Date : 1967
Risk Aversion And Portfolio Choice written by Donald D. Hester and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1967 with Investments categories.