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Portfolio optimization and performance analysis /

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Bibliographic Details
Main Author: Prigent, Jean-Luc, 1958 (Author)
Corporate Author: Taylor & Francis
Format: eBook
Language:English
Published: Boca Raton : Chapman and Hall/CRC, 2007.
Series:Chapman & Hall/CRC financial mathematics series
Subjects:
Hedge funds.
Portfolio management.
Investment analysis.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • chapter I Utility and risk analysis
  • chapter 1 Utility theory
  • chapter 2 Risk measures
  • part Part II: Standard portfolio optimization
  • chapter 3 Static optimization
  • chapter 4 Indexed funds and benchmarking
  • chapter 5 Portfolio performance
  • chapter III Dynamic portfolio optimization
  • chapter 6 Dynamic programming optimization
  • chapter 7 Optimal payoff profiles and long-term management
  • chapter 8 Optimization within specific markets
  • part IV Structured portfolio management
  • chapter 9 Portfolio insurance
  • chapter 10 Optimal dynamic portfolio with risk limits
  • chapter 11 Hedge funds
  • chapter A Appendix A: Arch Models
  • chapter B Appendix B: Stochastic Processes
  • chapter References
  • chapter Symbol Description.