Multi Period Mean Variance Analysis

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Multi-Period Trading Via Convex Optimization

Stephen Boyd,Enzo Busseti,Steven Diamond,Ronald N. Kahn,Kwangmoo Koh,Peter Nystrup,Jan Spethmann
Multi Period Trading Via Convex Optimization Book PDF

Author : Stephen Boyd,Enzo Busseti,Steven Diamond,Ronald N. Kahn,Kwangmoo Koh,Peter Nystrup,Jan Spethmann
Publisher : Unknown
Page : 92 pages
File Size : 42,7 Mb
Release : 2017-07-28
Category : Mathematics
ISBN : 1680833286

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Multi-Period Trading Via Convex Optimization by Stephen Boyd,Enzo Busseti,Steven Diamond,Ronald N. Kahn,Kwangmoo Koh,Peter Nystrup,Jan Spethmann Pdf

This monograph collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.

Mean-Variance Analysis in Portfolio Choice and Capital Markets

Harry M. Markowitz,G. Peter Todd
Mean Variance Analysis in Portfolio Choice and Capital Markets Book PDF

Author : Harry M. Markowitz,G. Peter Todd
Publisher : John Wiley & Sons
Page : 404 pages
File Size : 45,7 Mb
Release : 2000-02-15
Category : Business & Economics
ISBN : 1883249759

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Mean-Variance Analysis in Portfolio Choice and Capital Markets by Harry M. Markowitz,G. Peter Todd Pdf

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.

Stochastic Modeling and Optimization

David D. Yao,Hanqin Zhang,Xun Yu Zhou
Stochastic Modeling and Optimization Book PDF

Author : David D. Yao,Hanqin Zhang,Xun Yu Zhou
Publisher : Springer Science & Business Media
Page : 472 pages
File Size : 47,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9780387217574

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Stochastic Modeling and Optimization by David D. Yao,Hanqin Zhang,Xun Yu Zhou Pdf

This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.

Introduction to Stochastic Programming

John R. Birge,François Louveaux
Introduction to Stochastic Programming Book PDF

Author : John R. Birge,François Louveaux
Publisher : Springer Science & Business Media
Page : 421 pages
File Size : 41,9 Mb
Release : 2006-04-06
Category : Mathematics
ISBN : 9780387226187

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Introduction to Stochastic Programming by John R. Birge,François Louveaux Pdf

This rapidly developing field encompasses many disciplines including operations research, mathematics, and probability. Conversely, it is being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors present a broad overview of the main themes and methods of the subject, thus helping students develop an intuition for how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems. The early chapters introduce some worked examples of stochastic programming, demonstrate how a stochastic model is formally built, develop the properties of stochastic programs and the basic solution techniques used to solve them. The book then goes on to cover approximation and sampling techniques and is rounded off by an in-depth case study. A well-paced and wide-ranging introduction to this subject.

Optimization and Control for Systems in the Big-Data Era

Tsan-Ming Choi,Jianjun Gao,James H. Lambert,Chi-Kong Ng,Jun Wang
Optimization and Control for Systems in the Big Data Era Book PDF

Author : Tsan-Ming Choi,Jianjun Gao,James H. Lambert,Chi-Kong Ng,Jun Wang
Publisher : Springer
Page : 280 pages
File Size : 49,6 Mb
Release : 2017-05-04
Category : Business & Economics
ISBN : 9783319535180

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Optimization and Control for Systems in the Big-Data Era by Tsan-Ming Choi,Jianjun Gao,James H. Lambert,Chi-Kong Ng,Jun Wang Pdf

This book focuses on optimal control and systems engineering in the big data era. It examines the scientific innovations in optimization, control and resilience management that can be applied to further success. In both business operations and engineering applications, there are huge amounts of data that can overwhelm computing resources of large-scale systems. This “big data” provides new opportunities to improve decision making and addresses risk for individuals as well in organizations. While utilizing data smartly can enhance decision making, how to use and incorporate data into the decision making framework remains a challenging topic. Ultimately the chapters in this book present new models and frameworks to help overcome this obstacle. Optimization and Control for Systems in the Big-Data Era: Theory and Applications is divided into five parts. Part I offers reviews on optimization and control theories, and Part II examines the optimization and control applications. Part III provides novel insights and new findings in the area of financial optimization analysis. The chapters in Part IV deal with operations analysis, covering flow-shop operations and quick response systems. The book concludes with final remarks and a look to the future of big data related optimization and control problems.

Financial Decision Aid Using Multiple Criteria

Hatem Masri,Blanca Pérez-Gladish,Constantin Zopounidis
Financial Decision Aid Using Multiple Criteria Book PDF

Author : Hatem Masri,Blanca Pérez-Gladish,Constantin Zopounidis
Publisher : Springer
Page : 241 pages
File Size : 51,9 Mb
Release : 2018-01-17
Category : Business & Economics
ISBN : 9783319688763

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Financial Decision Aid Using Multiple Criteria by Hatem Masri,Blanca Pérez-Gladish,Constantin Zopounidis Pdf

This volume highlights recent applications of multiple-criteria decision-making (MCDM) models in the field of finance. Covering a wide range of MCDM approaches, including multiobjective optimization, goal programming, value-based models, outranking techniques, and fuzzy models, it provides researchers and practitioners with a set of MCDM methodologies and empirical results in areas such as portfolio management, investment appraisal, banking, and corporate finance, among others. The book addresses issues related to problem structuring and modeling, solution techniques, comparative analyses, as well as combinations of MCDM models with other analytical methodologies.

Developments in Mean-Variance Efficient Portfolio Selection

M. Agarwal
Developments in Mean Variance Efficient Portfolio Selection Book PDF

Author : M. Agarwal
Publisher : Springer
Page : 242 pages
File Size : 53,5 Mb
Release : 2014-11-11
Category : Business & Economics
ISBN : 9781137359926

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Developments in Mean-Variance Efficient Portfolio Selection by M. Agarwal Pdf

This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.

Intelligent Data Engineering and Automated Learning - IDEAL 2007

Hujun Yin
Intelligent Data Engineering and Automated Learning IDEAL 2007 Book PDF

Author : Hujun Yin
Publisher : Springer Science & Business Media
Page : 1192 pages
File Size : 49,5 Mb
Release : 2007-12-10
Category : Computers
ISBN : 9783540772255

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Intelligent Data Engineering and Automated Learning - IDEAL 2007 by Hujun Yin Pdf

Annotation This book constitutes the refereed proceedings of the 8th International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2007, held in Birmingham, UK, in December 2007. The 170 revised full papers presented were carefully reviewed and selected from more than 270 submissions. The papers are organized in topical sections on learning and information processing, data mining and information management, bioinformatics and neuroinformatics, agents and distributed systems, financial engineering and modeling, agent-based approach to service sciences, as well as neural-evolutionary fusion algorithms and their applications.

Computational Science — ICCS 2003

Peter M.A. Sloot,David Abramson,Alexander V. Bogdanov,Jack J. Dongarra,Albert Y. Zomaya,Yuriy E. Gorbachev
Computational Science ICCS 2003 Book PDF

Author : Peter M.A. Sloot,David Abramson,Alexander V. Bogdanov,Jack J. Dongarra,Albert Y. Zomaya,Yuriy E. Gorbachev
Publisher : Springer
Page : 1100 pages
File Size : 52,7 Mb
Release : 2003-08-03
Category : Computers
ISBN : 9783540448600

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Computational Science — ICCS 2003 by Peter M.A. Sloot,David Abramson,Alexander V. Bogdanov,Jack J. Dongarra,Albert Y. Zomaya,Yuriy E. Gorbachev Pdf

Some of the most challenging problems in science and engineering are being addressed by the integration of computation and science, a research ?eld known as computational science. Computational science plays a vital role in fundamental advances in biology, physics, chemistry, astronomy, and a host of other disciplines. This is through the coordination of computation, data management, access to instrumentation, knowledge synthesis, and the use of new devices. It has an impact on researchers and practitioners in the sciences and beyond. The sheer size of many challenges in computational science dictates the use of supercomputing, parallel and distri- ted processing, grid-based processing, advanced visualization and sophisticated algorithms. At the dawn of the 21st century the series of International Conferences on Computational Science (ICCS) was initiated with a ?rst meeting in May 2001 in San Francisco. The success of that meeting motivated the organization of the - cond meeting held in Amsterdam April 21–24, 2002, where over 500 participants pushed the research ?eld further. The International Conference on Computational Science 2003 (ICCS 2003) is the follow-up to these earlier conferences. ICCS 2003 is unique, in that it was a single event held at two di?erent sites almost opposite each other on the globe – Melbourne, Australia and St. Petersburg, Russian Federation. The conference ran on the same dates at both locations and all the presented work was published in a single set of proceedings, which you hold in your hands right now.

Handbook of Computational and Numerical Methods in Finance

Svetlozar T. Rachev
Handbook of Computational and Numerical Methods in Finance Book PDF

Author : Svetlozar T. Rachev
Publisher : Springer Science & Business Media
Page : 438 pages
File Size : 51,9 Mb
Release : 2011-06-28
Category : Mathematics
ISBN : 9780817681807

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Handbook of Computational and Numerical Methods in Finance by Svetlozar T. Rachev Pdf

The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical methods. Although numerical methods in finance have been studied intensively in recent years, many theoretical and practical financial aspects have yet to be explored. This volume presents current research and survey articles focusing on various numerical methods in finance. The book is designed for the academic community and will also serve professional investors.

Portfolios of Real Options

Rainer Brosch
Portfolios of Real Options Book PDF

Author : Rainer Brosch
Publisher : Springer Science & Business Media
Page : 158 pages
File Size : 55,5 Mb
Release : 2008-03-29
Category : Business & Economics
ISBN : 9783540782995

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Portfolios of Real Options by Rainer Brosch Pdf

Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general. Although the problem is common and vitally important in the value creation process of almost any corporation, it has not yet been satisfactorily addressed. It is key for any corporation facing strategic resource allocation decisions, be it a pharmaceutical ?rm valuing and managing its pipeline of drugs, a telecom company having to select a set of technological alternatives, a venture capital or private equity ?rm investing in a portfolio of ventures, or any company allocating resources. Portfolios of real options typically interact such that the value of the whole differs from the sum of the separate parts. Thus one must address and value the particular con?guration of options embedded in a speci?c situation, taking into account the con?guration of other options already present in the portfolio, which in turn depends on the correlation struc ture among the various underlying assets and the strategic dependencies among the options themselves (e. g. , mutual exclusivity, strategic additiv ity, compoundness, complementarity etc. ). In that sense, optimal decisions also depend on past option exercise decisions by management and organi zational capabilities put in place in the past.

Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

A. Berkelaar,J. Coche,K. Nyholm
Interest Rate Models Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds Book PDF

Author : A. Berkelaar,J. Coche,K. Nyholm
Publisher : Springer
Page : 366 pages
File Size : 43,6 Mb
Release : 2009-11-30
Category : Political Science
ISBN : 9780230251298

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Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds by A. Berkelaar,J. Coche,K. Nyholm Pdf

This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.

Stochastic Processes, Finance and Control

Samuel N. Cohen
Stochastic Processes Finance and Control Book PDF

Author : Samuel N. Cohen
Publisher : World Scientific
Page : 605 pages
File Size : 44,8 Mb
Release : 2012
Category : Mathematics
ISBN : 9789814383318

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Stochastic Processes, Finance and Control by Samuel N. Cohen Pdf

This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Stochastic Processes and Functional Analysis

Alan C. Krinik,Randall J. Swift
Stochastic Processes and Functional Analysis Book PDF

Author : Alan C. Krinik,Randall J. Swift
Publisher : CRC Press
Page : 526 pages
File Size : 54,5 Mb
Release : 2004-03-23
Category : Mathematics
ISBN : 0203913574

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Stochastic Processes and Functional Analysis by Alan C. Krinik,Randall J. Swift Pdf

This extraordinary compilation is an expansion of the recent American Mathematical Society Special Session celebrating M. M. Rao's distinguished career and includes most of the presented papers as well as ancillary contributions from session invitees. This book shows the effectiveness of abstract analysis for solving fundamental problems of stochas

Computational Methods in Financial Engineering

Erricos Kontoghiorghes,Berc Rustem,Peter Winker
Computational Methods in Financial Engineering Book PDF

Author : Erricos Kontoghiorghes,Berc Rustem,Peter Winker
Publisher : Springer Science & Business Media
Page : 425 pages
File Size : 55,7 Mb
Release : 2008-02-26
Category : Business & Economics
ISBN : 3540779582

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Computational Methods in Financial Engineering by Erricos Kontoghiorghes,Berc Rustem,Peter Winker Pdf

Computational models and methods are central to the analysis of economic and financial decisions. Simulation and optimisation are widely used as tools of analysis, modelling and testing. The focus of this book is the development of computational methods and analytical models in financial engineering that rely on computation. The book contains eighteen chapters written by leading researchers in the area on portfolio optimization and option pricing; estimation and classification; banking; risk and macroeconomic modelling. It explores and brings together current research tools and will be of interest to researchers, analysts and practitioners in policy and investment decisions in economics and finance.