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Portfolio Optimization with Different Information Flow

Portfolio Optimization with Different Information Flow
  • Author : Caroline Hillairet,Ying Jiao
  • Publisher :Unknown
  • Release Date :2017-02-10
  • Total pages :190
  • ISBN : 9780081011775
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Summary : Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtration theory.The authors apply the theory of the enlargement of filtrations and solve the optimization problem. Two main types of enlargement of filtration are discussed: initial and progressive, using tools from various fields, such as from stochastic calculus and convex analysis, optimal stochastic control and backward stochastic differential equations. This theoretical and numerical analysis is applied in different market settings to provide a good basis for the understanding of portfolio optimization with different information flow. Presents recent progress of stochastic portfolio optimization with exotic filtrations Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations

Enlargement of Filtration with Finance in View

Enlargement of Filtration with Finance in View
  • Author : Anna Aksamit,Monique Jeanblanc
  • Publisher :Unknown
  • Release Date :2017-11-18
  • Total pages :150
  • ISBN : 9783319412559
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Summary : This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many examples and applications to finance, in particular to credit risk modelling and the study of asymmetric information, are provided to illustrate the theory. A detailed summary of further connections and applications is given in bibliographic notes which enables to deepen study of the topic. This book fills a gap in the literature and serves as a guide for graduate students and researchers interested in the role of information in financial mathematics and in econometric science. A basic knowledge of the general theory of stochastic processes is assumed as a prerequisite.

Arbitrage, Credit and Informational Risks

Arbitrage, Credit and Informational Risks
  • Author : Caroline Hillairet,Monique Jeanblanc,Ying Jiao
  • Publisher :Unknown
  • Release Date :2014-03-18
  • Total pages :276
  • ISBN : 9789814602082
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Summary : This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:Arbitrage:No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier)Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)Credit Risk:Pricing Credit Derivatives with a Structural Default Model (Sébastien Hitier and Ying Zhu)Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Stéphane Crépey)Dynamic One-default Model (Shiqi Song)Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)Control Problem and Information Risks:Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski)A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Réveillac)A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows (Caroline Hillairet)Option Pricing under Stochastic Volatility, Jumps and Cost of Information (Sana Mahfoudh and Monique Pontier) Readership: Advanced undergraduates, graduates and researchers in financial mathematics. Key Features:Treats new problems and challenges issued from the recent financial crisis and proposes original research papers on the modeling and management of the related financial risks, notably the credit risk and information asymmetry risksThe contributors consist of worldwide renowned experts and also promising young scientists in financial mathematicsAccessible to a larger public including graduate and advanced undergraduate studentsKeywords:Arbitrage;Credit Risk;Information Asymmetry Risks

Integration of Information Flow for Greening Supply Chain Management

Integration of Information Flow for Greening Supply Chain Management
  • Author : Adam Kolinski,Davor Dujak,Paulina Golinska-Dawson
  • Publisher :Unknown
  • Release Date :2019-08-21
  • Total pages :415
  • ISBN : 9783030243555
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Summary : This book provides a framework for integrating information management in supply chains. Current trends in business practice have made it necessary to explore the potential held by information integration with regard to environmental aspects. Information flow integration provides an opportunity to focus on the creation of a more “green” supply chain. However, it is currently difficult to identify the impact of information integration on greening a supply chain in a wide range of practical applications. Accordingly, this book focuses on the potential value of information integration solutions in terms of greening supply chain management. It covers the following major topics: Application of information flow standards in the supply chain Information systems and technological solutions for integrating information flows in supply chains The Internet of Things and the industry 4.0 concept, with regard to the integration of supply chains Modeling and simulation of logistics processes Decision-making tools enabling the greening of supply chains

Optimization Methods in Finance

Optimization Methods in Finance
  • Author : Gerard Cornuejols,Reha Tütüncü
  • Publisher :Unknown
  • Release Date :2006-12-21
  • Total pages :229
  • ISBN : 9781139460569
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Summary : Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

Portfolio Management

Portfolio Management
  • Author : Shan Rajegopal
  • Publisher :Unknown
  • Release Date :2012-11-29
  • Total pages :238
  • ISBN : 9781137023339
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Summary : Technology is accelerating the speed of change, increasing competition in the marketplace and forcing business leaders to be agile and innovative in order to stay ahead of competitors. Where some companies are falling by the wayside, others are excelling in decision-making and execution. What makes the difference? Businesses that are good at managing change have an end-to-end approach in thinking about innovation, investment and implementation. Right at the outset they think about how to establish a culture of innovation, how to align innovation and investment decision-making, how to prioritise resources to the right areas and how to streamline the myriad of decision-making processes to manage implementation and measure results to drive continuous improvement. In Portfolio Management, Shan Rajegopal, a leading authority on innovation and project portfolio management, sets out in a clear, simple style the key factors you need to address to ensure the good innovative ideas bubble to the top, that you make better investment decisions and can manage implementation with less wasted resources and time. Using a tried-and-tested, integrated, project portfolio management framework that aligns innovation, investment and implementation, this book is an essential blueprint for business executives who are seeking big returns from their innovation investments!

Mathematical Reviews

Mathematical Reviews
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2003
  • Total pages :229
  • ISBN : UOM:39015057247507
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Summary :

TIMS/ORSA Bulletin

TIMS/ORSA Bulletin
  • Author : Institute of Management Sciences
  • Publisher :Unknown
  • Release Date :1993
  • Total pages :229
  • ISBN : UVA:X002267701
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Summary :

The Standard for Portfolio Management

The Standard for Portfolio Management
  • Author : Project Management Institute
  • Publisher :Unknown
  • Release Date :2013
  • Total pages :189
  • ISBN : 1935589695
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Summary : Presents an introduction to the processes of portfolio management, discussing how to identify business goals, develop strategy, evaluate environmental and risk factors, and successfully complete project objectives.

Journal of Investment Management

Journal of Investment Management
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2006
  • Total pages :229
  • ISBN : UCLA:L0074874736
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Summary :

Portfolio and Investment Analysis with SAS

Portfolio and Investment Analysis with SAS
  • Author : John B. Guerard,Ziwei Wang,Ganlin Xu
  • Publisher :Unknown
  • Release Date :2019-04-03
  • Total pages :230
  • ISBN : 9781635266894
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Summary : Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.

Advances in Active Portfolio Management: New Developments in Quantitative Investing

Advances in Active Portfolio Management: New Developments in Quantitative Investing
  • Author : Ronald N. Kahn,Richard C. Grinold
  • Publisher :Unknown
  • Release Date :2019-09-13
  • Total pages :464
  • ISBN : 9781260453720
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Summary : From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn. Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn’s legendary approach to meet current challenges. Composed of articles published in today’s leading management publications—including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into: • Dynamic Portfolio Management • Signal Weighting • Implementation Efficiency • Holdings-based attribution • Expected returns • Risk management • Portfolio construction • Fees Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors’ framework, and applying the framework in today’s investing landscape. The culmination of many decades of investing experience and research, Advances in Active Portfolio Managementmakes complex issues easy to understand and put into practice. It’s the one-stop resource you need to succeed in the world of investing today.

SPE Reservoir Evaluation & Engineering

SPE Reservoir Evaluation & Engineering
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2002
  • Total pages :229
  • ISBN : UOM:39015047954360
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INFORMS Conference Program

INFORMS Conference Program
  • Author : Institute for Operations Research and the Management Sciences. National Meeting
  • Publisher :Unknown
  • Release Date :2006
  • Total pages :229
  • ISBN : CORNELL:31924083381495
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Summary :

Groundwater Optimization Handbook

Groundwater Optimization Handbook
  • Author : Richard C. Peralta
  • Publisher :Unknown
  • Release Date :2012-04-26
  • Total pages :532
  • ISBN : 9781439838075
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Summary : Existing and impending water shortages argue for improving water quantity and quality management. Groundwater Optimization Handbook: Flow, Contaminant Transport, and Conjunctive Management helps you formulate and solve groundwater optimization problems to ensure sustainable supplies of adequate quality and quantity. It shows you how to more effecti

Journal Econonmics and Business

Journal Econonmics and Business
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :1997
  • Total pages :229
  • ISBN : 1230987654XX
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Summary :

Handbook of Image Storage and Retrieval Systems

Handbook of Image Storage and Retrieval Systems
  • Author : Marc R. D'Alleyrand
  • Publisher :Unknown
  • Release Date :1992
  • Total pages :370
  • ISBN : UOM:39015028421769
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Summary :

Statistical Decision Problems

Statistical Decision Problems
  • Author : Michael Zabarankin,Stan Uryasev
  • Publisher :Unknown
  • Release Date :2013-12-16
  • Total pages :249
  • ISBN : 9781461484714
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Summary : Statistical Decision Problems presents a quick and concise introduction into the theory of risk, deviation and error measures that play a key role in statistical decision problems. It introduces state-of-the-art practical decision making through twenty-one case studies from real-life applications. The case studies cover a broad area of topics and the authors include links with source code and data, a very helpful tool for the reader. In its core, the text demonstrates how to use different factors to formulate statistical decision problems arising in various risk management applications, such as optimal hedging, portfolio optimization, cash flow matching, classification, and more. The presentation is organized into three parts: selected concepts of statistical decision theory, statistical decision problems, and case studies with portfolio safeguard. The text is primarily aimed at practitioners in the areas of risk management, decision making, and statistics. However, the inclusion of a fair bit of mathematical rigor renders this monograph an excellent introduction to the theory of general error, deviation, and risk measures for graduate students. It can be used as supplementary reading for graduate courses including statistical analysis, data mining, stochastic programming, financial engineering, to name a few. The high level of detail may serve useful to applied mathematicians, engineers, and statisticians interested in modeling and managing risk in various applications.

Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA
  • Author : Antonio Daniel Silva,Rui Ferreira Neves,Nuno Horta
  • Publisher :Unknown
  • Release Date :2016-02-11
  • Total pages :95
  • ISBN : 9783319293929
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Summary : This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage

Commercial Applications for High-performance Computing

Commercial Applications for High-performance Computing
  • Author : Howard Jay Siegel,Society of Photo-optical Instrumentation Engineers
  • Publisher :Unknown
  • Release Date :2001
  • Total pages :206
  • ISBN : UOM:39015053115708
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Summary :

Chemical Engineering Progress

Chemical Engineering Progress
  • Author : Anonim
  • Publisher :Unknown
  • Release Date :2002
  • Total pages :229
  • ISBN : UCSD:31822022821060
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Summary :