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Produktbild: Robust Portfolio Optimization and Management

Robust Portfolio Optimization and Management

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

04.06.2007

Verlag

Wiley

Seitenzahl

512

Maße (L/B/H)

23,5/15,7/3,2 cm

Gewicht

792 g

Sprache

Englisch

ISBN

978-0-471-92122-6

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

04.06.2007

Verlag

Wiley

Seitenzahl

512

Maße (L/B/H)

23,5/15,7/3,2 cm

Gewicht

792 g

Sprache

Englisch

ISBN

978-0-471-92122-6

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Robust Portfolio Optimization and Management

  • Preface xi

    About the Authors xv

    Chapter 1

    Introduction 1

    Quantitative Techniques in the Investment Management Industry 1

    Central Themes of This Book 9

    Overview of This Book 12

    Part One Portfolio Allocation: Classical Theory and Extensions 15

    Chapter 2

    Mean-Variance Analysis and Modern Portfolio Theory 17

    The Benefits of Diversification 18

    Mean-Variance Analysis: Overview 21

    Classical Framework for Mean-Variance Optimization 24

    The Capital Market Line 35

    Selection of the Optimal Portfolio When There Is a Risk-Free Asset 41

    More on Utility Functions: A General Framework for Portfolio Choice 45

    Summary 50

    Chapter 3

    Advances in the Theory of Portfolio Risk Measures 53

    Dispersion and Downside Measures 54

    Portfolio Selection with Higher Moments through Expansions of Utility 70

    Polynomial Goal Programming for Portfolio Optimization with Higher Moments 78

    Some Remarks on the Estimation of Higher Moments 80

    The Approach of Malevergne and Sornette 81

    Summary 86

    Chapter 4

    Portfolio Selection in Practice 87

    Portfolio Constraints Commonly Used in Practice 88

    Incorporating Transaction Costs in Asset-Allocation Models 101

    Multiaccount Optimization 106

    Summary 111

    Part Two Robust Parameter Estimation 113

    Chapter 5

    Classical Asset Pricing 115

    Definitions 115

    Theoretical and Econometric Models 117

    Random Walk Models 118

    General Equilibrium Theories 131

    Capital Asset Pricing Model (CAPM) 132

    Arbitrage Pricing Theory (APT) 136

    Summary 137

    Chapter 6

    Forecasting Expected Return and Risk 139

    Dividend Discount and Residual Income Valuation Models 140

    The Sample Mean and Covariance Estimators 146

    Random Matrices 157

    Arbitrage Pricing Theory and Factor Models 160

    Factor Models in Practice 168

    Other Approaches to Volatility Estimation 172

    Application to Investment Strategies and Proprietary Trading 176

    Summary 177

    Chapter 7

    Robust Estimation 179

    The Intuition behind Robust Statistics 179

    Robust Statistics 181

    Robust Estimators of Regressions 192

    Confidence Intervals 200

    Summary 206

    Chapter 8

    Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model 207

    Practical Problems Encountered in Mean-Variance Optimization 208

    Shrinkage Estimation 215

    Bayesian Approaches 229

    Summary 253

    Part Three Optimization Techniques 255

    Chapter 9

    Mathematical and Numerical Optimization 257

    Mathematical Programming 258

    Necessary Conditions for Optimality for Continuous Optimization Problems 267

    Optimization Duality Theory 269

    How Do Optimization Algorithms Work? 272

    Summary 288

    Chapter 10

    Optimization under Uncertainty 291

    Stochastic Programming 293

    Dynamic Programming 308

    Robust Optimization 312

    Summary 332

    Chapter 11

    Implementing and Solving Optimization Problems in Practice 333

    Optimization Software 333

    Practical Considerations When Using Optimization Software 340

    Implementation Examples 346

    Specialized Software for Optimization Under Uncertainty 358

    Summary 360

    Part Four Robust Portfolio Optimization 361

    Chapter 12

    Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization 363

    Portfolio Resampling Techniques 364

    Robust Portfolio Allocation 367

    Some Practical Remarks on Robust Portfolio Allocation Models 392

    Summary 393

    Chapter 13

    The Practice of Robust Portfolio Management: Recent Trends and New Directions 395

    Some Issues in Robust Asset Allocation 396

    Portfolio Rebalancing 410

    Understanding and Modeling Transaction Costs 413

    Rebalancing Using an Optimizer 422

    Summary 435

    Chapter 14

    Quantitative Investment Management Today and Tomorrow 439

    Using Derivatives in Portfolio Management 440

    Currency Management 442

    Benchmarks 445

    Quantitative Return-Forecasting Techniques and Model-Based Trading Strategies 447

    Trade Execution and Algorithmic Trading 456

    Summary 460

    Appendix A Data Description: The MSCI World Index 463

    Index 473