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Author: Stanislaus Maier-Paape Publisher: Springer Nature ISBN: 3031333217 Category : Mathematics Languages : en Pages : 236
Book Description
This book is the culmination of the authors’ industry-academic collaboration in the past several years. The investigation is largely motivated by bank balance sheet management problems. The main difference between a bank balance sheet management problem and a typical portfolio optimization problem is that the former involves multiple risks. The related theoretical investigation leads to a significant extension of the scope of portfolio theories. The book combines practitioners’ perspectives and mathematical rigor. For example, to guide the bank managers to trade off different Pareto efficient points, the topological structure of the Pareto efficient set is carefully analyzed. Moreover, on top of computing solutions, the authors focus the investigation on the qualitative properties of those solutions and their financial meanings. These relations, such as the role of duality, are most useful in helping bank managers to communicate their decisions to the different stakeholders. Finally, bank balance sheet management problems of varying levels of complexity are discussed to illustrate how to apply the central mathematical results. Although the primary motivation and application examples in this book are focused in the area of bank balance sheet management problems, the range of applications of the general portfolio theory is much wider. As a matter of fact, most financial problems involve multiple types of risks. Thus, the book is a good reference for financial practitioners in general and students who are interested in financial applications. This book can also serve as a nice example of a case study for applied mathematicians who are interested in engaging in industry-academic collaboration.
Author: Stanislaus Maier-Paape Publisher: Springer Nature ISBN: 3031333217 Category : Mathematics Languages : en Pages : 236
Book Description
This book is the culmination of the authors’ industry-academic collaboration in the past several years. The investigation is largely motivated by bank balance sheet management problems. The main difference between a bank balance sheet management problem and a typical portfolio optimization problem is that the former involves multiple risks. The related theoretical investigation leads to a significant extension of the scope of portfolio theories. The book combines practitioners’ perspectives and mathematical rigor. For example, to guide the bank managers to trade off different Pareto efficient points, the topological structure of the Pareto efficient set is carefully analyzed. Moreover, on top of computing solutions, the authors focus the investigation on the qualitative properties of those solutions and their financial meanings. These relations, such as the role of duality, are most useful in helping bank managers to communicate their decisions to the different stakeholders. Finally, bank balance sheet management problems of varying levels of complexity are discussed to illustrate how to apply the central mathematical results. Although the primary motivation and application examples in this book are focused in the area of bank balance sheet management problems, the range of applications of the general portfolio theory is much wider. As a matter of fact, most financial problems involve multiple types of risks. Thus, the book is a good reference for financial practitioners in general and students who are interested in financial applications. This book can also serve as a nice example of a case study for applied mathematicians who are interested in engaging in industry-academic collaboration.
Author: Svetlozar T. Rachev Publisher: John Wiley & Sons ISBN: 111808618X Category : Business & Economics Languages : en Pages : 404
Book Description
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement. Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.
Author: Svetlozar T. Rachev Publisher: Wiley ISBN: 9780470053164 Category : Business & Economics Languages : en Pages : 0
Book Description
This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.
Author: Gunther Paul Publisher: Academic Press ISBN: 0128242183 Category : Technology & Engineering Languages : en Pages : 926
Book Description
Digital Human Modeling and Medicine: The Digital Twin explores the body of knowledge and state-of-the-art in Digital Human Modeling (DHM) and its applications in medicine. DHM is the science of representing humans with their physical properties, characteristics and behaviors in computerized, virtual models. These models can be used standalone or integrated with other computerized object design systems to both design or study designs of medical devices or medical device products and their relationship with humans. They serve as fast and cost-efficient computer-based tools for the assessment of human functional systems and human-system interaction. This book provides an industry first introductory and practitioner focused overview of human simulation tools, with detailed chapters describing body functional elements and organs, organ interactions and fields of application. Thus, DHM tools and a specific scientific/practical problem – functional study of the human body – are linked in a coherent framework. Eventually the book shows how DHM interfaces with common physical devices in medical practice, answering to a gap in literature and a common practitioner question. Case studies provide the applied knowledge for practitioners to make informed decisions. A non-specialist level, up-to-date overview and introduction to all medically relevant DHM systems to inform trialing, procurement decisions and initial application Includes user-level examples and case studies of DHM applications in various medical fields Clearly structured and focused compendium that is easy to access, read and understand
Author: H. Kent Baker Publisher: Oxford University Press, USA ISBN: 0199829691 Category : Business & Economics Languages : en Pages : 802
Book Description
Portfolio Theory and Management examines the foundations of portfolio management with the contributions of financial pioneers up to the latest trends. The book discusses portfolio theory and management both before and after the 2007-2008 financial crisis. It takes a global focus by highlighting cross-country differences and practices.
Author: Neil Thompson Publisher: Springer ISBN: 1349228273 Category : Business & Economics Languages : en Pages : 223
Book Description
The book is an in-depth review of the theory and empirics of the demand for money and other financial assets. The different theoretical approaches to the portfolio choice problem are described, together with an up-to-date survey of the results obtained from empirical studies of asset choice behaviour. Both single-equation studies and the more complete multi-asset portfolio models, are analysed.
Author: Kenneth J. Winston Publisher: Cambridge University Press ISBN: 1009209086 Category : Business & Economics Languages : en Pages : 647
Book Description
A modern introduction to risk and portfolio management for advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance, including extensive live data and Python code as online supplements which allow the application of theory to real-world situations.
Author: Elyès Jouini Publisher: Cambridge University Press ISBN: 9780521792370 Category : Derivative securities Languages : en Pages : 324
Book Description
This 2001 handbook surveys the state of practice, method and understanding in the field of mathematical finance. Every chapter has been written by leading researchers and each starts by briefly surveying the existing results for a given topic, then discusses more recent results and, finally, points out open problems with an indication of what needs to be done in order to solve them. The primary audiences for the book are doctoral students, researchers and practitioners who already have some basic knowledge of mathematical finance. In sum, this is a comprehensive reference work for mathematical finance and will be indispensable to readers who need to find a quick introduction or reference to a specific topic, leading all the way to cutting edge material.
Author: Stanislaus Maier-Paape
Author: Stanislaus Maier-Paape
Author: Karl Gillner
Author: Svetlozar T. Rachev
Author: Svetlozar T. Rachev
Author: Gunther Paul
Author: H. Kent Baker
Author: Diana R. Harrington
Author: Neil Thompson
Author: Kenneth J. Winston
Author: Elyès Jouini