# Optimal portfolios

Xem 1-20 trên 45 kết quả Optimal portfolios
• ### Lecture Investments: Principles of portfolio and equity analysis: Chapter 5 - CFA Institute

Chapter 5 - Portfolio risk and return (Part I). In this chapter, we will explore the process of examining the risk and return characteristics of individual assets, creating all possible portfolios, selecting the most efficient portfolios, and ultimately choosing the optimal portfolio tailored to the individual in question.

• ### Discrete Time Finance

Single period market models are the most elementary market models. Only a single period is considered. The beginning of the period is usually denoted by the time t = 0 and the end of the period by time t = 1. At time t = 0 stock prices, bond prices,possibly prices of other financial assets or specific financial values are recorded and the financial agent can choose his investment, often a portfolio of stocks and bond. At time t = 1 prices are recorded again and the financial agent obtains a payoff corresponding to the value of his portfolio at time t = 1....

• ### Lecture Investments: Principles of portfolio and equity analysis: Chapter 6 - CFA Institute

Chapter 6 - Portfolio risk and return (Part II). The topics discussed in this chapter are: Portfolio risk and return, optimal risky portfolio and the capital market line (CML), return-generating models and the market model, systematic and non-systematic risk, capital asset pricing model (CAPM) and the security market line (SML), performance measures, arbitrage pricing theory (APT) and factor models.

• ### Lecture Multinational financial management - Topic 19: Global portfolio optimization

In this chapter, students understand and can recall the process of portfolio construction and optimization; students can compute n-asset portfolio mean, volatility, and sharpe ratios; optimal combined portfolios that combine risky and risk-free assets.

• ### Portfolio optimization: Some aspects of modeling and computing

The paper focuses on computational aspects of portfolio optimization (PO) problems. The objectives of such problems may include: expectedreturn, standard deviation and variation coefficient of the portfolioreturn rate. PO problems can be formulated as mathematical programming problems in crisp, stochastic or fuzzy environments.

• ### Portfolio Optimization: Some Aspects of Modeling & Computing

The paper focuses on computational aspects of portfolio optimization (PO) problems. The objectives of such problems may include: expectedreturn, standard deviation and variation coefficient of the portfolioreturn rate.

• ### Strategic Corporate Finance

Strategic Corporate Finance provides a ‘‘real-world’’ application of the principles of modern corporate finance, with a practical, investment banking advisory perspective. Building on 15 years of corporate finance advisory experience, this book serves to bridge the chronic gap between corporate finance theory and practice. Topics range from weighted average cost of capital, value-based management and M&A, to optimal capital structure, risk management and dividend/buyback policy.

• ### Mathematics of money management

The favorable reception of Portfolio Management Formulas exceeded even the greatest expectation I ever had for the book. I had written it to promote the concept of optimal f and begin to immerse readers in portfolio theory and its missing relationship with optimal f. Besides finding friends out there, Portfolio Management Formulas was surprisingly met by quite an appetite for the math concerning money management. Hence this book. I am indebted to Karl Weber, Wendy Grau, and others at John Wiley & Sons who allowed me the necessary latitude this book required....

• ### Strategic Corporate Finance - JUSTIN PETTIT

Strategic Corporate Finance provides a ‘‘real-world’’ application of the principles of modern corporate finance, with a practical, investment banking advisory perspective. Building on 15 years of corporate finance advisory experience, this book serves to bridge the chronic gap between corporate finance theory and practice. Topics range from weighted average cost of capital, value-based management and M&A, to optimal capital structure, risk management and dividend/buyback policy.

• ### Risk and Portfolio Analysis

In everyday life we are often forced to make decisions involving risks and perceived opportunities. The consequences of our decisions are affected by the outcomes of random variables that are to various degrees beyond our control. Such decision problems arise, for instance, in financial and insurance markets.

• ### Implementing Models in Quantitative Finance: Methods and Cases

This book presents and develops major numerical methods currently used for solving problems arising in quantitative finance. Our presentation splits into two parts. Part I is methodological, and offers a comprehensive toolkit on numerical methods and algorithms. This includes Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. Part II is practical, and features a number of self-contained cases.

• ### Linear Factor Models in Finance

Chris Adcock is Professor of Financial Econometrics in the University of Sheffield. His career includes several years working in quantitative investment management in the City and, prior to that, a decade in management science consultancy. His research interests are in the development of robust and non-standard methods for modelling expected returns, portfolio selection methods and the properties of optimized portfolios. He has acted as an advisor to a number of asset management firms. He is the founding editor of the European Journal of Finance. George A.

• ### Behavioral Finance and Wealth Management

If successful, this book will change your idea about what an optimal investment portfolio is. It is intended to be a guide both to understanding irrational investor behavior and to creating individual investors’ portfolios that account for these irrational behaviors. In this book, an optimal portfolio lies on the efficient frontier, but it may move up or down that frontier depending on the individual needs and preferences of each investor.

• ### Alternative Investments and Stratagies

Asset allocation investigates the optimal division of a portfolio among different asset classes. Standard theory involves the optimal mix of risky stocks, bonds, and cash together with various subdivisions of these asset classes. Underlying this is the insight that diversification allows for achieving a balance between risk and return: by using different types of investment, losses may be limited and returns are made less volatile without losing too much potential gain.

• ### JPMorgan Investment Funds

Evaluating mutual fund performance is a topic of long-standing interest in the academic literature, but few if any studies have addressed the selection of an optimal portfolio of funds. Instead of using the historical data to estimate performance measures or produce fund rank- ings, this study uses the data to explore the mutual-fund investment decision.

• ### Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks

Interest income is the most important source of revenue for most of the banks. The aim of this paper is to assess the impact of dierent interest rate scenarios on the banks' interest income. As we do not know the interest rate sensitivity of real banks, we construct for each bank a portfolio with a similar composition of its assets and liabilities, called 'tracking bank'. We evaluate the eect of 260 historical interest rate shocks on the tracking banks of German savings banks and cooperative banks.

• ### Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms

In recent years, the credit derivatives market has become extremely active. Especially credit default swaps (CDSs) and collateralized debt obligations (CDOs) have contributed to what has been an amazing development. The most important benefit of credit derivatives is their ability to transfer the credit risk of an arbitrary number of obligors in a simple, efficient, and standardized way, giving rise to a liquid market for credit risk that can be easily accessed by many market participants.

• ### A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization

Though some pension funds – mostly larger, more sophisticated investors - are able to invest at the riskier end of the spectrum (i.e. in start-up, venture capital type projects focusing on clean tech and other innovations), this will only ever constitute a small percentage of their portfolios. The broad mass of pension funds will be more interested in lower risk investments (i.e. in deployable renewables etc.

• ### European Responsible Investing Fund Survey

Next, we examine predictability in both benchmark returns and fund risk loadings. Consider the dogmatist who believes in such a predictability structure (PD-2). This investor would experience a nontrivial utility loss of 15.1 basis points per month (1.8%/ year) in December 2002 if forced to hold the optimal portfolio of the ND. The utility loss is even larger over the course of all 276 monthly investments. This loss averages 21.1 (39) basis points per month over expansions (recessions).