Download or read book Portfolio Optimization with Bounded Shortfall Risks written by Abdelali Gabih and published by . This book was released on 2003 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolios with Bounded Shortfall Risks written by Abdelali Gabih and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Portfolio Optimization and ESG Ratings under Risk Constraints and Incomplete Information written by Janke, Oliver and published by Lehmanns Media. This book was released on with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor’s information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks’ lending to firms, on the regulator’s deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.
Download or read book Portfolio Optimization Under Shortfall Constraints written by Martin L. Leibowitz and published by . This book was released on 1987 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Optimization written by Dieter Kalin and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine two models of portfolio optimization. Volatility (standard deviation) constraints as well as shortfall constraints are considered and compared. We present a general condition under which the restriction to a certain risk level concerning volatility can be transformed to a special shortfall constraint and vice versa. We show that under this condition the Value at Risk of a portfolio can be easily calculated and restricted using the variance of the portfolio even if the return distribution is asymmetric. Finally, we give two examples of portfolio optimization where we show how the derived condition can be applied.
Download or read book Optimal Portfolios with Bounded Downside Risks written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis we optimize portfolios of one riskless bond and several risky assets in the Black-Scholes model as well as when asset prices follow an exponential Lévy process, which is a natural generalization of the Black-Scholes model. As an alternative to the classical mean variance portfolio selection which goes back to Markowitz, we consider as risk measures so called lower partial moments, e. g. the Value-at-Risk or the expected shortfall which are new benchmark risk measures. Here we replace the variance by the Capital-at-Risk (CaR), of which we think as the capital reserve in equity. We define the CaR as the difference between the riskless wealth and some risk measure. To solve these problems we derive new analytic results for Lévy processes. We also give simulations for realistic financial models.
Download or read book Mathematical Modelling and Numerical Methods in Finance written by Alain Bensoussan and published by Elsevier. This book was released on 2009-06-16 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field
Download or read book Portfolio Optimization Under Volatility and Shortfall Constraints written by Dieter Kalin and published by . This book was released on 1995 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset and Liability Management Handbook written by G. Mitra and published by Springer. This book was released on 2011-03-29 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.
Download or read book Operations Research Proceedings 2006 written by Karl-Heinz Waldmann and published by Springer Science & Business Media. This book was released on 2007-08-11 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a selection of papers referring to lectures presented at the symposium Operations Research 2006 held at the University of Karlsruhe. The symposium presented the state of the art in Operations Research and related areas in Economics, Mathematics, and Computer Science and demonstrated the broad applicability of its core themes, placing particular emphasis on Basel II, one of the most topical challenges of Operations Research.
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 A Comparison of Risk Measures for Portfolio Optimization With Cardinality Constraints written by Henrique Ramos and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ever since the introduction of Markowitz's classical quadratic programming problem, transforming portfolio optimization into a linear programming (LP) problem has drawn much attention from researchers and practitioners, given the tractability of LP. However, using non-linear risk measures and including real features and frictions may pose a challenge. In this paper, we solve the optimization problem of minimum portfolio risk for seven measures using linear programming under cardinality constraints. The risk measures used are Expected Loss, Expected Loss Deviation, Expected Shortfall, Shortfall Deviation Risk, Expectile Value at Risk, Deviation Expectile Value at Risk, and Maximum Loss. We assess the out-of-sample performance of seven risk-optimized portfolios with a maximum size of 20 assets for S &P 100 components from 2010 to mid-2020. After subtracting transaction costs, the Expected Loss Deviation portfolios have shown superior performance in terms of diversification and risk, the Maximum Loss portfolios have presented higher Sharpe ratio, the Expected Loss portfolios have higher absolute returns, Sortino and STARR ratios, and the Expected Shortfall portfolios have presented lower Beta coefficients than the benchmark and other risk-based portfolios. All portfolios present significant alpha after adjusting for several risk factors. The main results hold for subperiod analysis, different cardinalities, and other rebalancing periods. Our results show that superior performance can be achieved with simple linearized optimization models with lower market exposure measure by the CAPM beta.
Download or read book Portfolio Management with Heuristic Optimization written by Dietmar G. Maringer and published by Springer Science & Business Media. This book was released on 2006-07-02 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations) deals with the foundations of portfolio optimization, its assumptions, approaches and the limitations when "traditional" optimization techniques are to be applied. In addition, the basic concepts of several heuristic optimization techniques are presented along with examples of how to implement them for financial optimization problems. The second part (Applications and Contributions) consists of five chapters, covering different problems in financial optimization: the effects of (linear, proportional and combined) transaction costs together with integer constraints and limitations on the initital endowment to be invested; the diversification in small portfolios; the effect of cardinality constraints on the Markowitz efficient line; the effects (and hidden risks) of Value-at-Risk when used the relevant risk constraint; the problem factor selection for the Arbitrage Pricing Theory.
Download or read book Modern Portfolio Optimization with NuOPTTM S PLUS and S BayesTM written by Bernd Scherer and published by Springer Science & Business Media. This book was released on 2007-09-05 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.
Download or read book Optimal Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.
Download or read book Value and Capital Management written by Thomas C. Wilson and published by John Wiley & Sons. This book was released on 2015-08-31 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: A value management framework designed specifically for banking and insurance The Value Management Handbook is a comprehensive, practical reference written specifically for bank and insurance valuation and value management. Spelling out how the finance and risk functions add value in their respective spheres, this book presents a framework for measuring – and more importantly, influencing – the value of the firm from the position of the CFO and CRO. Case studies illustrating value-enhancing initiatives are designed to help Heads of Strategy offer CEOs concrete ideas toward creating more value, and discussion of "hard" and "soft" skills put CFOs and CROs in a position to better influence strategy and operations. The challenge of financial services valuation is addressed in terms of the roles of risk and capital, and business-specific "value trees" demonstrate the source of successful value enhancement initiatives. While most value management resources fail to adequately address the unique role of risk and capital in banks, insurance, and asset management, this book fills the gap by providing concrete, business-specific information that connects management actions and value creation, helping readers to: Measure value accurately for more productive value-based management initiatives and evaluation of growth opportunities Apply a quantitative, risk-adjusted value management framework reconciled with the way financial services shares are valued by the market Develop a value set specific to the industry to inspire initiatives that increase the firm's value Study the quantitative and qualitative management frameworks that move CFOs and CROs from measurement to management The roles of CFO and CRO in financial firms have changed dramatically over the past decade, requiring business savvy and the ability to challenge the CEO. The Value Management Handbook provides the expert guidance that leads CFOs and CROs toward better information, better insight, and better decisions.
Download or read book Portfolio Optimization with Quantile based Risk Measures written by Gerardo José Lemus Rodriguez and published by . This book was released on 1999 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
