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Zusatztext "The book will be interesting both to academic and professional readers! for it well introduces modern portfolio problems! which can be studied theoretically and/or practically."-Mathematical Reviews"?the text is easy to follow. The illustrations provided nicely blend with the theory and discussions. ? the book should be very attractive to graduate students with an interest in portfolio theory and researchers in the specified field. ?"-MAA Reviews! July 2008 Informationen zum Autor Jean-Luc Prigent Klappentext Presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework. This work offers an overview of standard portfolio optimization. It provides a review of the main results for static and dynamic cases. It shows how theoretical results can be applied to practical and operational portfolio optimization. Zusammenfassung Presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework. This work offers an overview of standard portfolio optimization. It provides a review of the main results for static and dynamic cases. It shows how theoretical results can be applied to practical and operational portfolio optimization. Inhaltsverzeichnis UTILITY AND RISK ANALYSIS Utility Theory Preferences under uncertainty Expected utility Risk aversion Stochastic dominance Alternative expected utility theoryRisk Measures Coherent and convex risk measuresStandard risk measuresSTANDARD PORTFOLIO OPTIMIZATION Static OptimizationMean-variance analysisAlternative criteriaFurther reading Indexed Funds and Benchmarking Indexed fundsBenchmark portfolio optimizationFurther readingPortfolio Performance Standard performance measures Performance decomposition Further readingDYNAMIC PORTFOLIO OPTIMIZATION Dynamic Programming Optimization Control theory Lifetime portfolio selectionFurther readingOptimal Payoff Profiles and Long-Term Management Optimal payoffs as functions of a benchmarkApplication to long-term management Further reading Optimization within Specific Markets Optimization in incomplete markets Optimization with constraintsOptimization with transaction costs Other frameworksFurther readingSTRUCTURED PORTFOLIO MANAGEMENT Portfolio Insurance The option-based portfolio insurance The constant proportion portfolio insurance Comparison between OBPI and CPPIFurther readingOptimal Dynamic Portfolio with Risk Limits Optimal insured portfolio: discrete-time caseOptimal insured portfolio: the dynamically complete caseValue-at-risk and expected shortfall-based management Further readingHedge Funds The hedge funds industry Hedge funds performance Optimal allocation in hedge funds Further readingReferences ...
