Risk Sensitive Investment Management
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Risk Sensitive Investment Management
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Author : Mark H A Davis
language : en
Publisher: World Scientific
Release Date : 2014-07-21
Risk Sensitive Investment Management written by Mark H A Davis and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-21 with Business & Economics categories.
Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes.With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management.This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful.
Recent Advances In Financial Engineering 2009 Proceedings Of The Kier Tmu International Workshop On Financial Engineering 2009
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Author : Masaaki Kijima
language : en
Publisher: World Scientific
Release Date : 2010-06-10
Recent Advances In Financial Engineering 2009 Proceedings Of The Kier Tmu International Workshop On Financial Engineering 2009 written by Masaaki Kijima and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-10 with Mathematics categories.
This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue.These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one. This volume will be of interest to academics, practitioners, and graduate students in the field of quantitative finance and financial engineering.
Pension Fund Investment Management
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 1997-08-15
Pension Fund Investment Management written by Frank J. Fabozzi 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 1997-08-15 with Business & Economics categories.
Every investment professional involved with the management of pension funds will embrace this wide-ranging handbook. Consisting of articles by an esteemed panel of contributors, it covers the basics as well as the latest on pension fund governance, operations, and value creation.
Stochastic Programming
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Author : Horand Gassmann
language : en
Publisher: World Scientific
Release Date : 2013
Stochastic Programming written by Horand Gassmann 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 book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.
Mathematical Finance
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Author : Michael Kohlmann
language : en
Publisher: Birkhäuser
Release Date : 2012-12-06
Mathematical Finance written by Michael Kohlmann and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
The year 2000 is the centenary year of the publication of Bachelier's thesis which - together with Harry Markovitz Ph. D. dissertation on portfolio selection in 1952 and Fischer Black's and Myron Scholes' solution of an option pricing problem in 1973 - is considered as the starting point of modern finance as a mathematical discipline. On this remarkable anniversary the workshop on mathematical finance held at the University of Konstanz brought together practitioners, economists and mathematicians to discuss the state of the art. Apart from contributions to the known discrete, Brownian, and Lvy process models, first attempts to describe a market in a reasonable way by a fractional Brownian motion model are presented, opening many new aspects for practitioners and new problems for mathematicians. As most dynamical financial problems are stochastic filtering or control problems many talks presented adaptations of control methods and techniques to the classical financial problems in portfolio selection irreversible investment risk sensitive asset allocation capital asset pricing hedging contingent claims option pricing interest rate theory. The contributions of practitioners link the theoretical results to the steadily increasing flow of real world problems from financial institutions into mathematical laboratories. The present volume reflects this exchange of theoretical and applied results, methods and techniques that made the workshop a fruitful contribution to the interdisciplinary work in mathematical finance.
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.
The Kelly Capital Growth Investment Criterion
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Author : Leonard C. MacLean
language : en
Publisher: World Scientific
Release Date : 2011
The Kelly Capital Growth Investment Criterion written by Leonard C. MacLean and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.
European Congress Of Mathematics
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Author : Carles Casacuberta
language : en
Publisher: Birkhäuser
Release Date : 2012-12-06
European Congress Of Mathematics written by Carles Casacuberta and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This is the second volume of the proceedings of the third European Congress of Mathematics. Volume I presents the speeches delivered at the Congress, the list of lectures, and short summaries of the achievements of the prize winners as well as papers by plenary and parallel speakers. The second volume collects articles by prize winners and speakers of the mini-symposia. This two-volume set thus gives an overview of the state of the art in many fields of mathematics and is therefore of interest to every professional mathematician.
Modern Asset Allocation For Wealth Management
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Author : David M. Berns
language : en
Publisher: John Wiley & Sons
Release Date : 2020-06-03
Modern Asset Allocation For Wealth Management written by David M. Berns 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 2020-06-03 with Business & Economics categories.
An authoritative resource for the wealth management industry that bridges the gap between modern perspectives on asset allocation and practical implementation An advanced yet practical dive into the world of asset allocation, Modern Asset Allocation for Wealth Management provides the knowledge financial advisors and their robo-advisor counterparts need to reclaim ownership of the asset allocation component of their fiduciary responsibility. Wealth management practitioners are commonly taught the traditional mean-variance approach in CFA and similar curricula, a method with increasingly limited applicability given the evolution of investment products and our understanding of real-world client preferences. Additionally, financial advisors and researchers typically receive little to no training on how to implement a robust asset allocation framework, a conceptually simple yet practically very challenging task. This timely book offers professional wealth managers and researchers an up-to-date and implementable toolset for managing client portfolios. The information presented in this book far exceeds the basic models and heuristics most commonly used today, presenting advances in asset allocation that have been isolated to academic and institutional portfolio management settings until now, while simultaneously providing a clear framework that advisors can immediately deploy. This rigorous manuscript covers all aspects of creating client portfolios: setting client risk preferences, deciding which assets to include in the portfolio mix, forecasting future asset performance, and running an optimization to set a final allocation. An important resource for all wealth management fiduciaries, this book enables readers to: Implement a rigorous yet streamlined asset allocation framework that they can stand behind with conviction Deploy both neo-classical and behavioral elements of client preferences to more accurately establish a client risk profile Incorporate client financial goals into the asset allocation process systematically and precisely with a simple balance sheet model Create a systematic framework for justifying which assets should be included in client portfolios Build capital market assumptions from historical data via a statistically sound and intuitive process Run optimization methods that respect complex client preferences and real-world asset characteristics Modern Asset Allocation for Wealth Management is ideal for practicing financial advisors and researchers in both traditional and robo-advisor settings, as well as advanced undergraduate and graduate courses on asset allocation.
Deposit Insurance Reform And Financial Modernization
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Author : United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
language : en
Publisher:
Release Date : 1990
Deposit Insurance Reform And Financial Modernization written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Banks and banking, International categories.