Maxmin Portfolio Choice PDF Download

Author: Marco Taboga
Publisher:
ISBN:
Category : Portfolio management
Languages : en
Pages : 52

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Book Description

Author: Kerry Back
Publisher: Oxford University Press
ISBN: 019970144X
Category : Business & Economics
Languages : en
Pages : 504

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Book Description
In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.

Author: Kerry E. Back
Publisher: Oxford University Press
ISBN: 0190241152
Category : Business & Economics
Languages : en
Pages : 608

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Book Description
In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.

Author: Kerry Back
Publisher: Oxford University Press, USA
ISBN: 0195380614
Category : Business & Economics
Languages : en
Pages : 504

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Book Description
This book covers the classical results on single-period, discrete-time, and continuous-time models of portfolio choice and asset pricing. It also treats asymmetric information, production models, various proposed explanations for the equity premium puzzle, and topics important for behavioral finance.

Author: Erricos John Kontoghiorghes
Publisher: Springer Science & Business Media
ISBN: 1475736134
Category : Business & Economics
Languages : en
Pages : 626

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Book Description
Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.

Author: James Russell Morris
Publisher:
ISBN:
Category :
Languages : en
Pages : 680

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Author: Shouyang Wang
Publisher: Springer
ISBN:
Category : Business & Economics
Languages : en
Pages : 220

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Book Description
This monograph consists of two parts. One part is portfolio selection theory and the other part is capital asset pricing theory. For each part, a comprehensive review of the original theory, efforts to improve the theory afterwards and future works to be done are presented. Some innovative models and empirical research works are given in subsequent chapters following the review. For example, a model for portfolio selection with order of expected returns is presented in Chapter 2, the model addresses the inaccuracy in the estimation the expected returns of securities by putting the expected returns of securities as variables rather than known constant. Readers will see some new results which are very practical and interesting. TOC:Criteria, Models and Strategies in Portfolio Selection.- A Model for Portfolio Selection with Order of Expected Returns.- A Compromise Solution to Mutual Funds Portfolio Selection with Transaction Cost.- Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales.- Portfolio Frontier with Different Rates for Borrowing and Lending.- Multi-period Investment.- Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs.- Capital Asset Pricing Theory.- Empirical Tests of CAPM for China's Stock Markets.- References.- Subject Index.- Author Index.

Author: Yong Fang
Publisher: Springer Science & Business Media
ISBN: 3540779264
Category : Business & Economics
Languages : en
Pages : 170

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Book Description
Most of the existing portfolio selection models are based on the probability theory. Though they often deal with the uncertainty via probabilistic - proaches, we have to mention that the probabilistic approaches only partly capture the reality. Some other techniques have also been applied to handle the uncertainty of the ?nancial markets, for instance, the fuzzy set theory [Zadeh (1965)]. In reality, many events with fuzziness are characterized by probabilistic approaches, although they are not random events. The fuzzy set theory has been widely used to solve many practical problems, including ?nancial risk management. By using fuzzy mathematical approaches, quan- tative analysis, qualitative analysis, the experts’ knowledge and the investors’ subjective opinions can be better integrated into a portfolio selection model. The contents of this book mainly comprise of the authors’ research results for fuzzy portfolio selection problems in recent years. In addition, in the book, the authors will also introduce some other important progress in the ?eld of fuzzy portfolio optimization. Some fundamental issues and problems of po- folioselectionhavebeenstudiedsystematicallyandextensivelybytheauthors to apply fuzzy systems theory and optimization methods. A new framework for investment analysis is presented in this book. A series of portfolio sel- tion models are given and some of them might be more e?cient for practical applications. Some application examples are given to illustrate these models by using real data from the Chinese securities markets.

Author: Martin R. Young
Publisher:
ISBN:
Category : Chebyshev approximation
Languages : en
Pages : 42

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Book Description

Author: Lars Peter Hansen
Publisher: Princeton University Press
ISBN: 0691170975
Category : Business & Economics
Languages : en
Pages : 453

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Book Description
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.