Download or read book Portfolio Choice Problems written by Nicolas Chapados and published by Springer Science & Business Media. This book was released on 2011-07-12 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.

Download or read book Portfolio Selection Using Multi Objective Optimisation written by Saurabh Agarwal and published by Springer. This book was released on 2017-08-21 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the risk-return paradox in portfolio selection by incorporating multi-objective criteria. Empirical research is presented on the development of alternate portfolio models and their relative performance in the risk/return framework to provide solutions to multi-objective optimization. Next to outlining techniques for undertaking individual investor’s profiling and portfolio programming, it also offers a new and practical approach for multi-objective portfolio optimization. This book will be of interest to Foreign Institutional Investors (FIIs), Mutual Funds, investors, and researchers and students in the field.

Download or read book Mathematical Optimization Theory and Operations Research written by Yury Kochetov and published by Springer Nature. This book was released on 2020-09-13 with total page 445 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes refereed proceedings of the 19th International Conference on Mathematical Optimization Theory and Operations Research, MOTOR 2020, held in Novosibirsk, Russia, in July 2020. Due to the COVID-19 pandemic the conference was held online. The 25 full papers and 8 short papers presented in this volume were carefully reviewed and selected from a total of 102 submissions. The papers in the volume are organised according to the following topical headings: ​combinatorial optimization; mathematical programming; global optimization; game theory and mathematical economics; heuristics and metaheuristics; machine learning and data analysis.

Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 809 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Download or read book Bayesian Inference of State Space Models written by Kostas Triantafyllopoulos and published by Springer Nature. This book was released on 2021-11-12 with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Inference of State Space Models: Kalman Filtering and Beyond offers a comprehensive introduction to Bayesian estimation and forecasting for state space models. The celebrated Kalman filter, with its numerous extensions, takes centre stage in the book. Univariate and multivariate models, linear Gaussian, non-linear and non-Gaussian models are discussed with applications to signal processing, environmetrics, economics and systems engineering. Over the past years there has been a growing literature on Bayesian inference of state space models, focusing on multivariate models as well as on non-linear and non-Gaussian models. The availability of time series data in many fields of science and industry on the one hand, and the development of low-cost computational capabilities on the other, have resulted in a wealth of statistical methods aimed at parameter estimation and forecasting. This book brings together many of these methods, presenting an accessible and comprehensive introduction to state space models. A number of data sets from different disciplines are used to illustrate the methods and show how they are applied in practice. The R package BTSA, created for the book, includes many of the algorithms and examples presented. The book is essentially self-contained and includes a chapter summarising the prerequisites in undergraduate linear algebra, probability and statistics. An up-to-date and complete account of state space methods, illustrated by real-life data sets and R code, this textbook will appeal to a wide range of students and scientists, notably in the disciplines of statistics, systems engineering, signal processing, data science, finance and econometrics. With numerous exercises in each chapter, and prerequisite knowledge conveniently recalled, it is suitable for upper undergraduate and graduate courses.

Download or read book The Sharpe Ratio written by Steven E. Pav and published by CRC Press. This book was released on 2021-09-22 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Sharpe Ratio: Statistics and Applications is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical properties of the Sharpe ratio and Markowitz portfolio, both under the simplifying assumption of Gaussian returns, and asymptotically. Connections are drawn between the financial measures and classical statistics including Student's t, Hotelling's T^2 and the Hotelling-Lawley trace. The robustness of these statistics to heteroskedasticity, autocorrelation, fat tails and skew of returns are considered. The construction of portfolios to maximize the Sharpe is expanded from the usual static unconditional model to include subspace constraints, hedging out assets, and the use of conditioning information on both expected returns and risk. The Sharpe Ratio: Statistics and Applications is the most comprehensive treatment of the statistical properties of the Sharpe ratio and Markowitz portfolio ever published. Features: 1. Material on single asset problems, market timing, unconditional and conditional portfolio problems, hedged portfolios. 2. Inference via both Frequentist and Bayesian paradigms. 3. A comprehensive treatment of overoptimism and overfitting of trading strategies. 4. Advice on backtesting strategies. 5. Dozens of examples and hundreds of exercises for self study. The Sharpe Ratio: Statistics and Applications is an essential reference for the practicing quant strategist and the researcher alike, and an invaluable textbook for the student.

Download or read book Topics in Nonparametric Statistics written by Michael G. Akritas and published by Springer. This book was released on 2014-12-02 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is composed of peer-reviewed papers that have developed from the First Conference of the International Society for Non Parametric Statistics (ISNPS). This inaugural conference took place in Chalkidiki, Greece, June 15-19, 2012. It was organized with the co-sponsorship of the IMS, the ISI and other organizations. M.G. Akritas, S.N. Lahiri and D.N. Politis are the first executive committee members of ISNPS and the editors of this volume. ISNPS has a distinguished Advisory Committee that includes Professors R.Beran, P.Bickel, R. Carroll, D. Cook, P. Hall, R. Johnson, B. Lindsay, E. Parzen, P. Robinson, M. Rosenblatt, G. Roussas, T. SubbaRao and G. Wahba. The Charting Committee of ISNPS consists of more than 50 prominent researchers from all over the world. The chapters in this volume bring forth recent advances and trends in several areas of nonparametric statistics. In this way, the volume facilitates the exchange of research ideas, promotes collaboration among researchers from all over the world and contributes to the further development of the field. The conference program included over 250 talks, including special invited talks, plenary talks and contributed talks on all areas of nonparametric statistics. Out of these talks, some of the most pertinent ones have been refereed and developed into chapters that share both research and developments in the field.

Download or read book Handbook Of The Fundamentals Of Financial Decision Making In 2 Parts written by Leonard C Maclean and published by World Scientific. This book was released on 2013-05-10 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2nd edition published in 2006).

Download or read book Advances in Financial Risk Management written by Jonathan A. Batten and published by Springer. This book was released on 2015-12-04 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.

Download or read book Algorithmic Trading and Quantitative Strategies written by Raja Velu and published by CRC Press. This book was released on 2020-08-12 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Algorithmic Trading and Quantitative Strategies provides an in-depth overview of this growing field with a unique mix of quantitative rigor and practitioner’s hands-on experience. The focus on empirical modeling and practical know-how makes this book a valuable resource for students and professionals. The book starts with the often overlooked context of why and how we trade via a detailed introduction to market structure and quantitative microstructure models. The authors then present the necessary quantitative toolbox including more advanced machine learning models needed to successfully operate in the field. They next discuss the subject of quantitative trading, alpha generation, active portfolio management and more recent topics like news and sentiment analytics. The last main topic of execution algorithms is covered in detail with emphasis on the state of the field and critical topics including the elusive concept of market impact. The book concludes with a discussion on the technology infrastructure necessary to implement algorithmic strategies in large-scale production settings. A git-hub repository includes data-sets and explanatory/exercise Jupyter notebooks. The exercises involve adding the correct code to solve the particular analysis/problem.

Download or read book Advances in Multimedia Software Engineering and Computing Vol 2 written by David Jin and published by Springer Science & Business Media. This book was released on 2011-11-23 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: MSEC2011 is an integrated conference concentrating its focus upon Multimedia, Software Engineering, Computing and Education. In the proceeding, you can learn much more knowledge about Multimedia, Software Engineering ,Computing and Education of researchers all around the world. The main role of the proceeding is to be used as an exchange pillar for researchers who are working in the mentioned field. In order to meet high standard of Springer, AISC series ,the organization committee has made their efforts to do the following things. Firstly, poor quality paper has been refused after reviewing course by anonymous referee experts. Secondly, periodically review meetings have been held around the reviewers about five times for exchanging reviewing suggestions. Finally, the conference organization had several preliminary sessions before the conference. Through efforts of different people and departments, the conference will be successful and fruitful.

Download or read book Recent Advances in Financial Engineering written by Masaaki Kijima and published by World Scientific. This book was released on 2011 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU).The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers ? all refereed ? representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing.

Download or read book The Oxford Handbook of Pensions and Retirement Income written by Gordon L. Clark and published by Oxford University Press, USA. This book was released on 2006-07-20 with total page 954 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook draws on research from a range of academic disciplines to reflect on the implications for provisions of pension and retirement income of demographic ageing. it reviews the latest research, policy related tools, analytical methods and techniques and major theoretical frameworks.

Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.

Download or read book Handbook of Research on Strategic Business Infrastructure Development and Contemporary Issues in Finance written by Ray, Nilanjan and published by IGI Global. This book was released on 2014-02-28 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dynamic economic climate invites participants who are grounded in strategic financial management and infrastructure development. Thus, a lack of sufficient infrastructure, in both quality and quantity, often disqualifies developing countries from being key players in the global economy and influences other socioeconomic problems like unemployment, quality of work life, and quality of life. Handbook of Research on Strategic Business Infrastructure Development and Contemporary Issues in Finance discusses the efficiency of good infrastructure and its impact on socioeconomic growth and socioeconomic development in general and addresses contemporary aspects of the strategic financial management essential for accomplishing the objective of wealth maximization in today's challenging and competitive economy. This book is an essential research work for policy makers, government workers and NGO employees, as well as academicians and researchers in the fields of business, finance, marketing, management, accounting, MIS, public administration, economics, and law.

Download or read book The Future of Public Employee Retirement Systems written by Gary Anderson and published by OUP Oxford. This book was released on 2009-08-13 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: People covered by public pensions are often the subject of 'pension envy:' that is, their benefits might seem more generous and their contributions lower than those offered by the private sector. Yet this book points out that such judgments are often inaccurate, since civil servants hold jobs with few counterparts in private industry, such as firefighters, police, judges, and teachers. Often these are riskier, dirtier, and demand more loyalty and discretion than would be required of a more mobile labor force in the private sector. The debate challenges traditional ideas about how the public employee labor contract is structured and raises questions about how such employees are attracted to the public sector, retained and motivated on the job, and retired, via an entire compensation package of wages and benefits. Authors explore aspects of these schemes, addressing the cost and valuation debate, along with the political economy of how public pension asset pools are perceived and managed, an increasingly important topic in times of global financial turmoil. The discussion also explores ways that public pensions can be strengthened in the US, Japan, Canada, and Germany. The volume captures a vigorous debate currently underway by academics, financial experts, regulators, and plan sponsors, all seeking to define a new future for public retirement systems. It will be of substantial interest to a wide range of readers, since public sector employees and their representatives will naturally find the comparisons and arguments over valuation of keen interest. Public pension administrators and policymakers seeking an explanation of what makes these plans so costly will gain a new understanding of how the arguments stack up. Private sector employers and plan sponsors can learn much from efforts to reform these retirement systems in states and countries around the world. Finally, investors and the taxpaying public more generally may be at risk to cover these long-term promises, so it behoves them to pay close attention to the financing and investment practices of these plans, along with their valuation. This volume represents an invaluable addition to the Pension Research Council / Oxford University Press series as it includes actuarial, economic, and financial perspectives making it useful for academics, retirement plan administrators, and public employees wishing to understand the challenges facing public pensions.

Download or read book Business Law and Ethics Concepts Methodologies Tools and Applications written by Management Association, Information Resources and published by IGI Global. This book was released on 2015-03-31 with total page 1697 pages. Available in PDF, EPUB and Kindle. Book excerpt: In modern business environments, ethical behavior plays a crucial role in success. Managers and business leaders must pay close attention to the ethics of their policies and behaviors to avoid a reputation-crushing scandal. Business Law and Ethics: Concepts, Methodologies, Tools, and Applications explores best practices business leaders need to navigate the complex landscape of legal and ethical issues on a day-to-day basis. Utilizing both current research and established conventions, this multi-volume reference is a valuable tool for business leaders, managers, students, and professionals in a globalized marketplace.