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 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. Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).

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 2007-06-04 with total page 517 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 Financial Decisions and Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2017-10-31 with total page 477 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the field’s most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. The book shows how models make predictions not only about asset prices but also about investors’ financial positions, and how they often draw on insights from behavioral economics. After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics. The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Markets is an essential resource for all graduate students and practitioners in finance and related fields. Integrated treatment of asset pricing theory and empirical evidence Emphasis on investors’ decisions Broad view linking the field to financial econometrics, household finance, and macroeconomics Topics treated in discrete time, with no requirement for stochastic calculus Forthcoming solutions manual for problems available to professors

Download or read book Portfolio Management in Practice Volume 1 written by CFA Institute and published by John Wiley & Sons. This book was released on 2020-11-11 with total page 1328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Management in Practice, Volume 1: Investment Management delivers a comprehensive overview of investment management for students and industry professionals. As the first volume in the CFA Institute’s new Portfolio Management in Practice series, Investment Management offers professionals looking to enhance their skillsets and students building foundational knowledge an essential understanding of key investment management concepts. Designed to be an accessible resource for a wide range of learners, this volume explores the full portfolio management process. Inside, readers will find detailed coverage of: Forming capital market expectations Principles of the asset allocation process Determining investment strategies within each asset class Integrating considerations specific to high net worth individuals or institutions into chosen strategies And more To apply the concepts outlined in the Investment Management volume, explore the accompanying Portfolio Management in Practice, Volume 1: Investment Management Workbook. The perfect companion resource, this workbook aligns chapter-by-chapter with Investment Management for easy referencing so readers can draw connections between theoretical content and challenging practice problems. Featuring contributions from the CFA Institute’s subject matter experts, Portfolio Management in Practice, Volume 1: Investment Management distills the knowledge forward-thinking professionals will need to succeed in today’s fast-paced financial world.

Download or read book Advanced Modelling in Mathematical Finance written by Jan Kallsen and published by Springer. This book was released on 2016-12-01 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.

Download or read book Economics of Power Systems written by Christoph Weber and published by Springer Nature. This book was released on 2022-11-14 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: In order to manage the transition towards a sustainable future electricity system, an in-depth understanding of the key technological, economic, environmental and societal drivers for electricity markets is required. Suitable for advanced undergraduate and graduate students, this textbook provides an overview of these drivers and introduces readers to major economic models and empirical evidence for the study of electricity markets and systems. Readers will learn about electricity generation, demand, transport, and storage, as well as the fundamentals of grid and electricity markets in Europe. By introducing them to state-of-the-art models from operations research and economics, the book provides a solid basis for analytical insights and numerical modeling. Furthermore, the book discusses the policy instruments and design choices for electricity market regulation and sustainable power system development, as well as the current challenges for smart energy systems.

Download or read book In Pursuit of the Perfect Portfolio written by Andrew W. Lo and published by Princeton University Press. This book was released on 2021-08-17 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Is there an ideal portfolio of investment assets, one that perfectly balances risk and reward? In Pursuit of the Perfect Portfolio examines this question by profiling and interviewing ten of the most prominent figures in the finance world,Jack Bogle, Charley Ellis, Gene Fama, Marty Liebowitz, Harry Markowitz, Bob Merton, Myron Scholes, Bill Sharpe, Bob Shiller, and Jeremy Siegel. We learn about the personal and intellectual journeys of these luminaries, which include six Nobel Laureates and a trailblazer in mutual funds, and their most innovative contributions. In the process, we come to understand how the science of modern investing came to be. Each of these finance greats discusses their idea of a perfect portfolio, offering invaluable insights to today's investor

Download or read book Housing Partnerships written by Andrew Caplin and published by MIT Press. This book was released on 1997 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Housing Partnerships: A New Approach to a Market at a Crossroads provides the blueprints of the Housing Partnership structure and the new opportunities it furnishes home owners, while explaining the economics behind the housing and mortgage markets and the financial risks in owning a home.

Download or read book Monetarism and the Federal Reserve s Conduct of Monetary Policy written by and published by . This book was released on 1983 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Models and Methods in Economics and Management Science written by Fouad El Ouardighi and published by Springer Science & Business Media. This book was released on 2013-09-16 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt: With this book, distinguished and notable contributors wish to honor Professor Charles S. Tapiero’s scientific achievements. Although it covers only a few of the directions Professor Tapiero has taken in his work, it presents important modern developments in theory and in diverse applications, as studied by his colleagues and followers, further advancing the topics Tapiero has been investigating. The book is divided into three parts featuring original contributions covering the following areas: general modeling and analysis; applications to marketing, economy and finance; and applications to operations and manufacturing. Professor Tapiero is among the most active researchers in control theory; in the late sixties, he started to enthusiastically promote optimal control theory along with differential games, successfully applying it to diverse problems ranging from classical operations research models to finance, risk and insurance, marketing, transportation and operations management, conflict management and game theory, engineering, regional and urban sciences, environmental economics, and organizational behavior. Over the years, Professor Tapiero has produced over 300 papers and communications and 14 books, which have had a major impact on modern theoretical and applied research. Notable among his numerous pioneering scientific contributions are the use of graph theory in the behavioral sciences, the modeling of advertising as a random walk, the resolution of stochastic zero-sum differential games, the modeling of quality control as a stochastic competitive game, and the development of impulsive control methods in management. Charles Tapiero’s creativity applies both in formulating original issues, modeling complex phenomena and solving complex mathematical problems.

Download or read book Financial Planning Competency Handbook written by CFP Board and published by John Wiley & Sons. This book was released on 2015-08-03 with total page 948 pages. Available in PDF, EPUB and Kindle. Book excerpt: The official guide for exam success and career excellence Financial Planning Competency Handbook, Second Edition is the essential reference for those at any stage of certification and a one-stop resource for practitioners looking to better serve their clients. This fully updated second edition includes brand new content on connections diagrams, new case studies, and new instructional videos, and a completely new section devoted to the interdisciplinary nature of financial planning. You'll gain insights from diverse fields like psychology, behavioral finance, communication, and marriage and family therapy to help you better connect with and guide your clients, alongside the detailed financial knowledge you need to perform to the highest expectations as a financial planner. This book contains over ninety chapters that are essential for practitioners, students, and faculty. Whether a practitioner, student, or faculty member, this guide is the invaluable reference you need at your fingertips. Comprehensive, clear, and detailed, this handbook forms the foundation of the smart financial planner's library. Each jurisdiction has its own laws and regulations surrounding financial planning, but the information in this book represents the core body of knowledge the profession demands no matter where you practice. Financial Planning Competency Handbook, Second Edition guides you from student to practitioner and far beyond, with the information you need when you need it.

Download or read book Proceedings of the International Conference on Economics Management and Accounting ICEMAC 2022 written by Prasetyo Hartanto and published by Springer Nature. This book was released on 2023-09-30 with total page 551 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book.The International Conference on Economics, Management, and Accounting (ICEMAC) is an activity held at an international conference by presenting new studies and research results in the fields of Economics, Management, and Accounting. The Management and Accounting Study Program is the organizer of this international conference. ICEMAC is the third conference held by us and will be held virtually due to the COVID-19 Pandemic which has not shown a better situation. The 3rd ICEMAC 2022 conference will be expected to bring together national and international scale researchers, practitioners, students, and community and industry activists in our chosen fields. Considering the occurrence of disruptive technology in Indonesia which has an impact on business transformation in various fields, especially the accounting and economic fields which have changed massively into digitalization and put forward a new equilibrium or new balance. In order to move into the 5.0 era, the 3rd ICEMAC 2022 international conference has the main theme, namely “Sustainable business strategy to face challenges & Opportunity in digitalization era”.

Download or read book Introduction to Mathematical Finance written by David C. Heath Glen Swindle and published by American Mathematical Soc.. This book was released on 2000-01-25 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foundation for the subject of mathematical finance was laid nearly 100 years ago by Bachelier in his fundamental work, Theorie de la speculation. In this work, he provided the first treatment of Brownian motion. Since then, the research of Markowitz, and then of Black, Merton, Scholes, and Samuelson brought remarkable and important strides in the field. A few years later, Harrison and Kreps demonstrated the fundamental role of martingales and stochastic analysis in constructing and understanding models for financial markets. The connection opened the door for a flood of mathematical developments and growth. Concurrently with these mathematical advances, markets have grown, and developments in both academia and industry continue to expand. This lively activity inspired an AMS Short Course at the Joint Mathematics Meetings in San Diego (CA). The present volume includes the written results of that course. Articles are featured by an impressive list of recognized researchers and practitioners. Their contributions present deep results, pose challenging questions, and suggest directions for future research. This collection offers compelling introductory articles on this new, exciting, and rapidly growing field.

Download or read book Investing In The Modern Age written by Rachel E S Ziemba and published by World Scientific. This book was released on 2013-05-21 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses many key topics in investment and risk management, the global economic situation and the shift in global investment strategies. It was largely written during the period of 2007-12, one of the most tumultuous times in global financial markets which called into question not only tenets of economic forecasting and also asset allocation and return strategies. It contains studies of how investors lose money in derivative markets, examples of those who did not and how these disasters could have been prevented. The authors draw some conclusions on the impact of the structural shifts currently underway in the global economy as well as how cyclical trends will affect these industries, the globe and key sectors. The authors zoom in on key growth areas, including emerging markets, their interlinkages and financial trends.The book also covers risk arbitrage and mean reversion strategies in financial and sports betting markets, plus incentives, volatility aspects, risk taking and investments strategies used by hedge funds and university endowments. Topics such as stock market crash predictions, asset liability planning models, various players in financial markets and the evaluation of the greatest investors are also discussed.The book presents tools and case studies of real applications for analyzing a wide variety of investment returns and better assessing the risks which many investors have preferred to ignore in the search of returns. Many security market regularities or anomalies are discussed including political party and January effects as is the process of building scenarios and using Kelly and fractional Kelly strategies to optimize returns.

Download or read book Algorithmic Learning Theory written by Ricard Gavaldà and published by Springer Science & Business Media. This book was released on 2009-09-21 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 20th International Conference on Algorithmic Learning Theory, ALT 2009, held in Porto, Portugal, in October 2009, co-located with the 12th International Conference on Discovery Science, DS 2009. The 26 revised full papers presented together with the abstracts of 5 invited talks were carefully reviewed and selected from 60 submissions. The papers are divided into topical sections of papers on online learning, learning graphs, active learning and query learning, statistical learning, inductive inference, and semisupervised and unsupervised learning. The volume also contains abstracts of the invited talks: Sanjoy Dasgupta, The Two Faces of Active Learning; Hector Geffner, Inference and Learning in Planning; Jiawei Han, Mining Heterogeneous; Information Networks By Exploring the Power of Links, Yishay Mansour, Learning and Domain Adaptation; Fernando C.N. Pereira, Learning on the Web.

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.