Download or read book Bond Portfolio Optimization written by Michael Puhle and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.

Download or read book Applications of Stochastic Programming written by Stein W. Wallace and published by SIAM. This book was released on 2005-01-01 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.

Download or read book Risk Classification in Life Insurance written by J. David Cummins and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: The research project leading to this book was initiated in the fall of 1979 when the American Council of Life Insurance (ACLI) contacted Dan McGill, chairman of the Wharton School Insurance Department, about conducting a study on risk classification in life insurance. The ACLI was concerned about legislative and judicial activity in this area and its potential effects on the life insurance industry. A meeting was held at the ACLI offices in Washington, D.C., between several members of the ACLI staff and Dan McGill and David Cummins representing the Wharton School insurance department. An agreement was reached that a study would be conducted at Wharton dealing with issues in risk classification. Although the staff of the ACLI suggested directions the study might take, it was agreed that the design and execution of the study would be solely under the control of the researchers. The researchers also retained unrestricted publication rights in the results of the study. This agreement has been honored by the ACLI during the course of the project.

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 Hedge Funds written by Vikas Agarwal and published by Now Publishers Inc. This book was released on 2005 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds summarizes the academic research on hedge funds and commodity trading advisors. The hedge fund industry has grown tremendously over the recent years. According to some industry estimates, hedge funds have increased from $39 million in 1990 to about $972 million in 2004 and the total number of hedge funds has gone up from 610 to 7,436 over the same period. At the same time, hedge fund strategies have changed significantly. In 1990 the macro strategy dominated the industry while in 2004 the equity hedge strategy had the largest share of the market. There has also been a shift in the type of investor in hedge funds. In the early 1990's the typical investor was a high net-worth individual investor, today the typical investor is an institutional investor. Thus, the hedge fund market has not only grown tremendously, but the nature of the market has changed. Despite the enormous growth of this industry, there is limited information available on hedge funds. As a result, there is a need for rigorous research from both the investors' and regulators' point of view. Investors need research to better understand their investment and their risk exposure. This research also helps investors recognize the extent of diversification benefits hedge funds offer in combination with investments in traditional asset classes, such as stocks and bonds. Regulators can use this research to identify situations where regulation may be needed to protect investors' interests and to understand the impact hedge funds trading strategies have on the stability of the financial markets. The first part of Hedge Funds summarizes hedge fund performance, including comparisons of risk-return characteristics of hedge funds with those of mutual funds, factors driving hedge fund returns, and persistence in hedge fund performance. The second part reviews research regarding the unique contractual features and characteristics of hedge funds and their influence on the risk-return tradeoffs. The third part reviews the role of hedge funds in a portfolio including the extent of diversification benefits and limitations of standard mean-variance framework for asset allocation. Finally, the authors summarize the research on the biases in hedge fund databases.

Download or read book Nonparametric Econometrics written by A. R. Pagan and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investing in Hedge Funds written by Turan Bali and published by Academic Press. This book was released on 2013-06-29 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book will present a comprehensive view of the risk characteristics, risk-adjusted performances, and risk exposures of various hedge fund indices. It will distinguish itself from other books and journal articles by focusing solely on hedge fund indices and emphasizing tail risk as a predictor of hedge fund index returns. The three chapters in this short book have not been previously published. - Presents new insights about the investability and performance measurement of an investor's final portfolio - Uses most recently developed investable hedge fund indexes to revise previous analyses of indexes - Focuses on 14 distinct types of hedge fund indices with daily data from January 1994 to December 2011

Download or read book The Sortino Framework for Constructing Portfolios written by Frank A. Sortino and published by Elsevier. This book was released on 2009-11-27 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most common way of constructing portfolios is to use traditional asset allocation strategies, which match the client's risk appetite to a weighted allocation strategy of fixed income, equities, and other types of assets. This method focuses on how the money is allocated, rather than on future returns.The Sortino method presents an innovative change from this traditional approach. Rather than using the client's risk as the main factor, this method uses the client's desired return. - Only book to describe the Sortino method and Desired Target ReturnTM in a way that enables portfolio managers to adopt the method - Software to implement the portfolio construction method is included free of charge to book buyers on a password protected Elsevier website. Book buyers can use the software to construct portfolios using this method right away, in real time. They can also load in their current portfolios and measure them against these measures - The Sortino method has been tested over 20 years at the Pension Research Institute. Portfolio managers can be confident of the success of the method, even returns in the economic crisis, in which the method has still beaten all S&P benchmarks

Download or read book Portfolio Selection written by Harry Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.

Download or read book Coastal Tourism written by and published by . This book was released on 1997 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Optimization and Performance Analysis written by Jean-Luc Prigent and published by CRC Press. This book was released on 2007-05-07 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont

Download or read book Shared Capitalism at Work written by Douglas L. Kruse and published by University of Chicago Press. This book was released on 2010-06-15 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: The historical relationship between capital and labor has evolved in the past few decades. One particularly noteworthy development is the rise of shared capitalism, a system in which workers have become partial owners of their firms and thus, in effect, both employees and stockholders. Profit sharing arrangements and gain-sharing bonuses, which tie compensation directly to a firm’s performance, also reflect this new attitude toward labor. Shared Capitalism at Work analyzes the effects of this trend on workers and firms. The contributors focus on four main areas: the fraction of firms that participate in shared capitalism programs in the United States and abroad, the factors that enable these firms to overcome classic free rider and risk problems, the effect of shared capitalism on firm performance, and the impact of shared capitalism on worker well-being. This volume provides essential studies for understanding the increasingly important role of shared capitalism in the modern workplace.

Download or read book Organizing Smart Buildings and Cities written by Elisabetta Magnaghi and published by Springer Nature. This book was released on 2021-02-01 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: The United Nations included sustainable cities and communities in its 2030 SDGs. Cities and, on a smaller scale, neighborhoods, building managers and firms are now adopting technologies and information systems to help achieve the energy, economic, social and environmental transition. This volume gathers contributions on the key organizational success factors for this transition. To do so, it analyzes the role of information systems, use of data, and technological assistance solutions from multiple perspectives. The goal is to develop a framework that can successfully apply information systems to organizational and environmental issues for smart cities and smart buildings. Accordingly, the book addresses living-lab experiment evaluation techniques, and provides critical analyses of the role of the environment, context and users’ behavioral responses. In addition, it discusses key questions on the efficient management of resources, need for appropriate IT solutions, and employing co-creation with users to improve planning and organization.

Download or read book Risk and Liquidity written by Hyun Song Shin and published by OUP Oxford. This book was released on 2010-05-27 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.

Download or read book Maslowian Portfolio Theory written by Philippe De Brouwer and published by Vubpress. This book was released on 2012-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written from the perspective of a financial investor, this account supports Behavioral Portfolio Theory, draws attention to the importance of asset-liability matching, and offers a natural framework for investor-adviser dialogue and mathematical portfolio optimization. In this system, investment goals--and not investor psychology--drive investment advice; "risk" depends on the investment objective and may be different in each sub-portfolio. This comprehensive book presents an extensive overview of existing portfolio theories and behavioral finance, and introduces new theories and its practical applications.

Download or read book Portfolio Preferences of Foreign Institutional Investors written by Reena Aggarwal and published by World Bank Publications. This book was released on 2003 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Emerging Stock Markets written by Christopher Barry and published by Wiley. This book was released on 2000-04-14 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Stock Markets: Risk, Return, and Performance is a compendium of historical data currently available about the performance of securities in emerging markets. As a result, it will be an invaluable aid to the investor or investment manager trying to make informed decisions about investing in emerging market assets. The authors provide monthly stock return data for more than two dozen countries in the Emerging Markets Data Base maintained by the International Finance Corporation. Without such data, analysis of this fascinating asset class has been frustrated.