[下载] Portfolio Optimization and Performance Analysis (Chapman & HallCrc Fina

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[下载] Portfolio Optimization and Performance Analysis (Chapman & HallCrc Financial M
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Portfolio Optimization and Performance Analysis (Chapman & Hall/Crc Financial Mathematics Series)

Price(Amazon): USD 63.96

Hardcover: 456 pages

Publisher: Chapman & Hall/CRC; 1 edition (May 7, 2007)

Language: English

ISBN-10: 1584885785

ISBN-13: 978-1584885788

Product 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. 

About the Author

University of Cergy-Pontoise, France Cambridge Systems Associates Limited, UK University of Maryland, College Park, USA Columbia University, New York, USA

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关键词：Optimization performance Performan Portfolio Analysis Analysis Optimization Portfolio Chapman mathematics

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