Buch, Englisch, 456 Seiten, Format (B × H): 162 mm x 243 mm, Gewicht: 1000 g
Buch, Englisch, 456 Seiten, Format (B × H): 162 mm x 243 mm, Gewicht: 1000 g
Reihe: Chapman and Hall/CRC Financial Mathematics Series
ISBN: 978-1-58488-578-8
Verlag: Taylor & Francis Inc
Divided into four sections that mirror the book's aims, this resource first describes the fundamental results of decision theory, including utility maximization and risk measure minimization. Covering both active and passive portfolio management, the second part discusses standard portfolio optimization and performance measures. The book subsequently introduces dynamic portfolio optimization based on stochastic control and martingale theory. It also outlines portfolio optimization with market frictions, such as incompleteness, transaction costs, labor income, and random time horizon. The final section applies theoretical results to practical portfolio optimization, including structured portfolio management. It details portfolio insurance methods as well as performance measures for alternative investments, such as hedge funds.
Taking into account the different features of portfolio management theory, this book promotes a thorough understanding for students and professionals in the field.
Zielgruppe
Professional
Autoren/Hrsg.
Weitere Infos & Material
Utility Theory. Risk Measures. Static Optimization. Indexed Funds and Benchmarking. Portfolio Performance. Dynamic Programming Optimization. Optimal Payoff Profiles and Long-Term Management. Optimization within Specific Markets. Portfolio Insurance. Optimal Dynamic Portfolio with Risk Limits. Hedge Funds. References.