Download or read book Portfolio Decision Analysis written by Ahti Salo and published by Springer Science & Business Media. This book was released on 2011-08-12 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Decision Analysis: Improved Methods for Resource Allocation provides an extensive, up-to-date coverage of decision analytic methods which help firms and public organizations allocate resources to 'lumpy' investment opportunities while explicitly recognizing relevant financial and non-financial evaluation criteria and the presence of alternative investment opportunities. In particular, it discusses the evolution of these methods, presents new methodological advances and illustrates their use across several application domains. The book offers a many-faceted treatment of portfolio decision analysis (PDA). Among other things, it (i) synthesizes the state-of-play in PDA, (ii) describes novel methodologies, (iii) fosters the deployment of these methodologies, and (iv) contributes to the strengthening of research on PDA. Portfolio problems are widely regarded as the single most important application context of decision analysis, and, with its extensive and unique coverage of these problems, this book is a much-needed addition to the literature. The book also presents innovative treatments of new methodological approaches and their uses in applications. The intended audience consists of practitioners and researchers who wish to gain a good understanding of portfolio decision analysis and insights into how PDA methods can be leveraged in different application contexts. The book can also be employed in courses at the post-graduate level.

Download or read book Advances in Portfolio Construction and Implementation written by Alan Scowcroft and published by Elsevier. This book was released on 2003-06-25 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management.Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance.*Provides practical guidance on financial risk management*Covers the latest developments in investment portfolio construction*Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)

Download or read book Discrete Choice Methods with Simulation written by Kenneth Train and published by Cambridge University Press. This book was released on 2009-07-06 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.

Download or read book Robustness Analysis in Decision Aiding Optimization and Analytics written by Michael Doumpos and published by Springer. This book was released on 2016-07-12 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad coverage of the recent advances in robustness analysis in decision aiding, optimization, and analytics. It offers a comprehensive illustration of the challenges that robustness raises in different operations research and management science (OR/MS) contexts and the methodologies proposed from multiple perspectives. Aside from covering recent methodological developments, this volume also features applications of robust techniques in engineering and management, thus illustrating the robustness issues raised in real-world problems and their resolution within advances in OR/MS methodologies. Robustness analysis seeks to address issues by promoting solutions, which are acceptable under a wide set of hypotheses, assumptions and estimates. In OR/MS, robustness has been mostly viewed in the context of optimization under uncertainty. Several scholars, however, have emphasized the multiple facets of robustness analysis in a broader OR/MS perspective that goes beyond the traditional framework, seeking to cover the decision support nature of OR/MS methodologies as well. As new challenges emerge in a “big-data'” era, where the information volume, speed of flow, and complexity increase rapidly, and analytics play a fundamental role for strategic and operational decision-making at a global level, robustness issues such as the ones covered in this book become more relevant than ever for providing sound decision support through more powerful analytic tools.

Download or read book Soft Computing Based Optimization and Decision Models written by David A. Pelta and published by Springer. This book was released on 2017-08-03 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a timely snapshot of current soft-computing research and solutions to decision-making and optimization problems, which are ubiquitous in the current social and technological context, addressing fields including logistics, transportation and data analysis. Written by leading international experts from the United States, Brazil and Cuba, as well as the United Kingdom, France, Finland and Spain, it discusses theoretical developments in and practical applications of soft computing in fields where these methods are crucial to obtaining better models, including: intelligent transportation systems, maritime logistics, portfolio selection, decision- making, fuzzy cognitive maps, and fault detection. The book is dedicated to Professor José L. Verdegay, a pioneer who has been actively pursuing research in fuzzy sets theory and soft computing since 1982, in honor of his 65th birthday.

Download or read book Advances in Investment Analysis and Portfolio Management written by Cheng-Few Lee and published by Elsevier. This book was released on 2001-02-02 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: - Desarrolla una metodología que permite compaginar la adquisición de los objetivos y el trabajo en competencias básicas. - Asume un compromiso con la educación en valores que se refleja en el tratamiento de los contenidos, de la ilustración y de las propuestas de trabajo. - Otorga un papel destacado a las nuevas tecnologías. - Favorece la adecuación de la exposición y la profundidad de los contenidos con el grado de maduración del alumnado. - Confiere a las ilustraciones un papel didáctico de primer orden. - Proporciona una rica oferta en actividades, tanto en el plano cuantitativo como en el cualitativo. - Ofrece materiales que fomentan la autoevaluación del alumnado.

Download or read book Intelligent Information and Database Systems written by Ngoc-Thanh Nguyen and published by Springer. This book was released on 2016-03-08 with total page 817 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume proceedings of the ACIIDS 2016 conference, LNAI 9621 + 9622, constitutes the refereed proceedings of the 8th Asian Conference on Intelligent Information and Database Systems, held in Da Nang, Vietnam, in March 2016. The total of 153 full papers accepted for publication in these proceedings was carefully reviewed and selected from 392 submissions. They were organized in topical sections named: knowledge engineering and semantic Web; social networks and recommender systems; text processing and information retrieval; database systems and software engineering; intelligent information systems; decision support and control systems; machine learning and data mining; computer vision techniques; intelligent big data exploitation; cloud and network computing; multiple model approach to machine learning; advanced data mining techniques and applications; computational intelligence in data mining for complex problems; collective intelligence for service innovation, technology opportunity, e-learning, and fuzzy intelligent systems; analysis for image, video and motion data in life sciences; real world applications in engineering and technology; ontology-based software development; intelligent and context systems; modeling and optimization techniques in information systems, database systems and industrial systems; smart pattern processing for sports; and intelligent services for smart cities.

Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.

Download or read book Advances and Trends in Optimization with Engineering Applications written by Tamas Terlaky and published by SIAM. This book was released on 2017-04-26 with total page 730 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization is of critical importance in engineering. Engineers constantly strive for the best possible solutions, the most economical use of limited resources, and the greatest efficiency. As system complexity increases, these goals mandate the use of state-of-the-art optimization techniques. In recent years, the theory and methodology of optimization have seen revolutionary improvements. Moreover, the exponential growth in computational power, along with the availability of multicore computing with virtually unlimited memory and storage capacity, has fundamentally changed what engineers can do to optimize their designs. This is a two-way process: engineers benefit from developments in optimization methodology, and challenging new classes of optimization problems arise from novel engineering applications. Advances and Trends in Optimization with Engineering Applications reviews 10 major areas of optimization and related engineering applications, providing a broad summary of state-of-the-art optimization techniques most important to engineering practice. Each part provides a clear overview of a specific area and discusses a range of real-world problems. The book provides a solid foundation for engineers and mathematical optimizers alike who want to understand the importance of optimization methods to engineering and the capabilities of these methods.

Download or read book INFORMS Annual Meeting written by Institute for Operations Research and the Management Sciences. National Meeting and published by . This book was released on 2009 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book New Developments in Multiple Objective and Goal Programming written by Dylan Jones and published by Springer Science & Business Media. This book was released on 2010-03-17 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume shows the state-of-the-art in both theoretical development and application of multiple objective and goal programming. Applications from the fields of supply chain management, financial portfolio selection, financial risk management, insurance, medical imaging, sustainability, nurse scheduling, project management, water resource management, and the interface with data envelopment analysis give a good reflection of current usage. A pleasing variety of techniques are used including models with fuzzy, group-decision, stochastic, interactive, and binary aspects. Additionally, two papers from the upcoming area of multi-objective evolutionary algorithms are included. The book is based on the papers of the 8th International Conference on Multi-Objective and Goal Programming (MOPGP08) which was held in Portsmouth, UK, in September 2008.

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Download or read book Random Regret based Discrete Choice Modeling written by Caspar G. Chorus and published by Springer Science & Business Media. This book was released on 2012-04-05 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This tutorial presents a hands-on introduction to a new discrete choice modeling approach based on the behavioral notion of regret-minimization. This so-called Random Regret Minimization-approach (RRM) forms a counterpart of the Random Utility Maximization-approach (RUM) to discrete choice modeling, which has for decades dominated the field of choice modeling and adjacent fields such as transportation, marketing and environmental economics. Being as parsimonious as conventional RUM-models and compatible with popular software packages, the RRM-approach provides an alternative and appealing account of choice behavior. Rather than providing highly technical discussions as usually encountered in scholarly journals, this tutorial aims to allow readers to explore the RRM-approach and its potential and limitations hands-on and based on a detailed discussion of examples. This tutorial is written for students, scholars and practitioners who have a basic background in choice modeling in general and RUM-modeling in particular. It has been taken care of that all concepts and results should be clear to readers that do not have an advanced knowledge of econometrics.

Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Download or read book Modeling and Optimization Theory and Applications written by Luis F. Zuluaga and published by Springer Science & Business Media. This book was released on 2013-11-22 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a selection of contributions that were presented at the Modeling and Optimization: Theory and Applications Conference (MOPTA) held at Lehigh University in Bethlehem, Pennsylvania, USA on July 30-August 1, 2012. The conference brought together a diverse group of researchers and practitioners, working on both theoretical and practical aspects of continuous or discrete optimization. Topics presented included algorithms for solving convex, network, mixed-integer, nonlinear, and global optimization problems, and addressed the application of optimization techniques in finance, logistics, health, and other important fields. The contributions contained in this volume represent a sample of these topics and applications and illustrate the broad diversity of ideas discussed at the meeting.

Download or read book Developments in Mean Variance Efficient Portfolio Selection written by M. Agarwal and published by Springer. This book was released on 2015-12-11 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.

Download or read book Investors and Markets written by William F. Sharpe and published by Princeton University Press. This book was released on 2008-07 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Nobel Prize-winning financial economist William Sharpe shows that investment professionals cannot make good portfolio choices unless they understand the determinants of asset prices." -- Provided by publisher.