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£108.00

CRC Press Portfolio Optimization and Performance Analysis (Chapman and Hall/CRC Financial Mathematics Series)

Name: Portfolio Optimization and Performance Analysis (Chapman and Hall/CRC Financial Mathematics Series)
Brand: CRC Press
Price: 108.0 GBP
Availability: InStock

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Description

In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization. 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.

Product Specifications

Brand: CRC Press
Format: hardcover
ASIN: 1584885785
Category: Books > Subjects > Business, Finance & Law > Accounting
Domain: Amazon UK
Release Date: 02 September 2008
Listed Since: 03 January 2007

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CRC Press Portfolio Optimization and Performance Analysis (Chapman and Hall/CRC Financial Mathematics Series)

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