Portfolio optimization and performance analysis /

Bibliographic Details
Main Author:	Prigent, Jean-Luc, 1958-
Corporate Author:	Taylor & Francis
Format:	eBook
Language:	English
Published:	Boca Raton : Chapman & Hall/CRC, ©2007.
Series:	Chapman & Hall/CRC financial mathematics series.
Subjects:	Portfolio management. Investment analysis. Hedge funds. Gestion de portefeuille. Analyse financière. Fonds spéculatifs. BUSINESS & ECONOMICS > Investments & Securities > General. Hedge funds Investment analysis Portfolio management Hedge Fund Investitionsanalyse Portfoliomanagement Electronic books.
Online Access:	Connect to the full text of this electronic book

Table of Contents:

UTILITY AND RISK ANALYSISUtility TheoryPreferences under uncertaintyExpected utilityRisk aversionStochastic dominanceAlternative expected utility theoryRisk MeasuresCoherent and convex risk measuresStandard risk measuresSTANDARD PORTFOLIO OPTIMIZATIONStatic OptimizationMean-variance analysisAlternative criteriaFurther readingIndexed Funds and BenchmarkingIndexed fundsBenchmark portfolio optimizationFurther readingPortfolio PerformanceStandard performance measuresPerformance decompositionFurther readingDYNAMIC PORTFOLIO OPTIMIZATIONDynamic Programming OptimizationControl theoryLifetime portfolio selectionFurther readingOptimal Payoff Profiles and Long-Term ManagementOptimal payoffs as functions of a benchmarkApplication to long-term managementFurther readingOptimization within Specific MarketsOptimization in incomplete marketsOptimization with constraintsOptimization with transaction costsOther frameworksFurther readingSTRUCTURED PORTFOLIO MANAGEMENTPortfolio InsuranceThe option-based portfolio insuranceThe constant proportion portfolio insuranceComparison between OBPI and CPPIFurther readingOptimal Dynamic Portfolio with Risk LimitsOptimal insured portfolio: discrete-time caseOptimal insured portfolio: the dynamically complete caseValue-at-risk and expected shortfall-based managementFurther readingHedge FundsThe hedge funds industryHedge funds performanceOptimal allocation in hedge fundsFurther readingReferences.