Download or read book Approximating optimal investment strategies written by Maj-Britt Nordfang and published by . This book was released on 2011 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Approximations to Expected Utility Optimization in Continuous Time written by Maj-Britt Nordfang and published by . This book was released on 2017 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we explore approximate solutions to optimal control problems that cannot be solved analytically with existing techniques. Inspired by the mean-variance analysis of the single period environment, an advanced and a simple method are developed in order to approximate optimal investment strategies in continuous time. In the advanced method, the original problem is approximated by a Taylor series expansion in the conditional mean of terminal wealth. As the point of expansion is thereby continuously changing, the approximation results in a non-standard optimal control problem that can be characterised by an extended HJB equation. In the simple method, the problem is expanded in the initial mean, leading to a problem that can be solved using the classical HJB equation in an unconventional way. The advanced approximated problem inherits more features from the original problem than the simple approximated problem. In a numerical example, we illustrate how the advanced approximate strategy gives a better approximation than the simple approximated strategy. An approximate solution is determined to a prospect theory investment problem, utilising the advanced method of approximation. The solution reflects the same behaviour as the classical life-cycle investment strategy, where the proportion of wealth invested in the risky asset is decreasing over time and independent of the level of wealth.
Download or read book Growth Optimal Investment Strategies written by David Carl Larson and published by . This book was released on 1986 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investment Strategies Optimization based on a SAX GA Methodology written by António M.L. Canelas and published by Springer Science & Business Media. This book was released on 2012-09-26 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a new computational finance approach combining a Symbolic Aggregate approximation (SAX) technique with an optimization kernel based on genetic algorithms (GA). While the SAX representation is used to describe the financial time series, the evolutionary optimization kernel is used in order to identify the most relevant patterns and generate investment rules. The proposed approach considers several different chromosomes structures in order to achieve better results on the trading platform The methodology presented in this book has great potential on investment markets.
Download or read book Optimal Investment Strategies written by Jean-Yves Sireau and published by . This book was released on 1995 with total page 175 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem written by Fei Cong and published by . This book was released on 2016 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper enhances a well-known dynamic portfolio management algorithm, the BGSS algorithm, proposed by Brandt, Goyal, Santa-Clara and Stroud (Review of Financial Studies, 18, 831-873, 2005). We equip this algorithm with the components from a recently developed method, the Stochastic Grid Bundling Method, for calculating conditional expectations. When solving the first-order conditions for a portfolio optimum, we implement a Taylor series expansion based on a nonlinear decomposition to approximate the utility functions. In the numerical tests, we show that our algorithm is accurate and robust in approximating the optimal investment strategies, that are generated by a new benchmark approach based on the COS method (SIAM J. Sci. Comput., 31, 826-848, 2008).
Download or read book Lifecycle Investing written by Ian Ayres and published by ReadHowYouWant.com. This book was released on 2010-05 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diversification provides a well-known way of getting something close to a free lunch: by spreading money across different kinds of investments, investors can earn the same return with lower risk (or a much higher return for the same amount of risk). This strategy, introduced nearly fifty years ago, led to such strategies as index funds. What if we were all missing out on another free lunch that’s right under our noses? InLifecycle Investing, Barry Nalebuff and Ian Ayres-two of the most innovative thinkers in business, law, and economics-have developed tools that will allow nearly any investor to diversify their portfolios over time. By using leveraging when young-a controversial idea that sparked hate mail when the authors first floated it in the pages ofForbes-investors of all stripes, from those just starting to plan to those getting ready to retire, can substantially reduce overall risk while improving their returns. InLifecycle Investing, readers will learn How to figure out the level of exposure and leverage that’s right foryou How the Lifecycle Investing strategy would have performed in the historical market Why it will work even if everyone does it Whennotto adopt the Lifecycle Investing strategy Clearly written and backed by rigorous research,Lifecycle Investingpresents a simple but radical idea that will shake up how we think about retirement investing even as it provides a healthier nest egg in a nicely feathered nest.
Download or read book Stochastic Optimization Methods in Finance and Energy written by Marida Bertocchi and published by Springer Science & Business Media. This book was released on 2011-09-15 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.
Download or read book A Study of Optimal Investment Strategies written by Padmanathan Kathirgamanathan and published by . This book was released on 1999 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Investment written by L. C. G. Rogers and published by Springer Science & Business Media. This book was released on 2013-01-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Readers of this book will learn how to solve a wide range of optimal investment problems arising in finance and economics. Starting from the fundamental Merton problem, many variants are presented and solved, often using numerical techniques that the book also covers. The final chapter assesses the relevance of many of the models in common use when applied to data.
Download or read book Statistical Modeling Using Local Gaussian Approximation written by Dag Tjøstheim and published by Academic Press. This book was released on 2021-10-05 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical Modeling using Local Gaussian Approximation extends powerful characteristics of the Gaussian distribution, perhaps, the most well-known and most used distribution in statistics, to a large class of non-Gaussian and nonlinear situations through local approximation. This extension enables the reader to follow new methods in assessing dependence and conditional dependence, in estimating probability and spectral density functions, and in discrimination. Chapters in this release cover Parametric, nonparametric, locally parametric, Dependence, Local Gaussian correlation and dependence, Local Gaussian correlation and the copula, Applications in finance, and more. Additional chapters explores Measuring dependence and testing for independence, Time series dependence and spectral analysis, Multivariate density estimation, Conditional density estimation, The local Gaussian partial correlation, Regression and conditional regression quantiles, and a A local Gaussian Fisher discriminant. Reviews local dependence modeling with applications to time series and finance markets Introduces new techniques for density estimation, conditional density estimation, and tests of conditional independence with applications in economics Evaluates local spectral analysis, discovering hidden frequencies in extremes and hidden phase differences Integrates textual content with three useful R packages
Download or read book Determining Optimal Investment Strategies On the Economic Evaluation and Analysis of Investments written by Stefan Pfosser and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Investment Under Information Driven Contagious Distress written by Lijun Bo and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a dynamic optimization framework to analyze optimal portfolio allocations within an information driven contagious distress model. The investor allocates his wealth across several stocks whose growth rates and distress intensities are driven by a hidden Markov chain, and also influenced by the distress state of the economy. We show that the optimal investment strategies depend on the gradient of value functions, recursively linked to each other via the distress states. We establish uniform bounds for the solutions to a sequence of approximation problems, show their convergence to the unique Sobolev solution of the recursive system of Hamilton-Jacobi-Bellman partial differential equations (HJB PDEs), and prove a verification theorem. We provide a numerical study to illustrate the sensitivity of the strategies to contagious distress, stock volatilities and risk aversion.
Download or read book Optimal Investment Strategies under Demand Tax Policy Uncertainty written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Optimal Investment Strategy written by Douglas Evans McTeer and published by . This book was released on 1975 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Optimization Under Local Stochastic Volatility written by Matthew Lorig and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the 'implied Sharpe ratio' and derive a series approximation for this quantity. The zeroth-order approximation of the value function and optimal investment strategy correspond to those obtained by Merton (1969) when the risky asset follows a geometric Brownian motion. The first-order correction of the value function can, for general utility functions, be expressed as a differential operator acting on the zeroth-order term. For power utility functions, higher order terms can also be computed as a differential operator acting on the zeroth-order term. We give a rigorous accuracy bound for the higher order approximations in this case in pure stochastic volatility models. A number of examples are provided in order to demonstrate numerically the accuracy of our approximations.
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.
