Portfolio optimization and performance analysis:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton, Fla. [u.a.]
Chapman & Hall/CRC
2007
|
| Schriftenreihe: | Chapman & Hall/CRC financial mathematics series
|
| Schlagworte: | |
| Online-Zugang: | Table of contents only Publisher description Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XVI, 434 S. graph. Darst. |
| ISBN: | 1584885785 9781584885788 |
Internformat
MARC
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| 020 | |a 9781584885788 |9 978-1-58488-578-8 | ||
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| 100 | 1 | |a Prigent, Jean-Luc |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Portfolio optimization and performance analysis |c Jean-Luc Prigent |
| 264 | 1 | |a Boca Raton, Fla. [u.a.] |b Chapman & Hall/CRC |c 2007 | |
| 300 | |a XVI, 434 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Chapman & Hall/CRC financial mathematics series | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Analyse financière | |
| 650 | 4 | |a Fonds spéculatifs | |
| 650 | 4 | |a Gestion de portefeuille | |
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Investment analysis | |
| 650 | 4 | |a Hedge funds | |
| 650 | 0 | 7 | |a Investitionsanalyse |0 (DE-588)4273190-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Hedge Fund |0 (DE-588)4444016-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfoliomanagement |0 (DE-588)4115601-8 |2 gnd |9 rswk-swf |
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| 689 | 1 | 0 | |a Investitionsanalyse |0 (DE-588)4273190-2 |D s |
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| 856 | 4 | |u http://www.loc.gov/catdir/toc/ecip076/2006100727.html |3 Table of contents only | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy0704/2006100727-d.html |3 Publisher description | |
| 856 | 4 | 2 | |m Digitalisierung UB Bamberg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015925836&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-015925836 | ||
Datensatz im Suchindex
| _version_ | 1804136944882417664 |
|---|---|
| adam_text | Contents
List of Tables
XIII
List of Figures XV
I Utility and risk analysis
1
1
Utility theory
5
1.1
Preferences under uncertainty
................. 7
1.1.1
Lotteries
.......................... 7
1.1.2
Axioms on preferences
.................. 8
1.2
Expected utility
......................... 9
1.3
Risk aversion
........................... 11
1.3.1
Arrow-Pratt measures of risk aversion
......... 13
1.3.2
Standard utility functions
................ 15
1.3.3
Applications to portfolio allocation
........... 17
1.4
Stochastic dominance
...................... 19
1.5
Alternative expected utility theory
............... 24
1.5.1
Weighted utility theory
................. 25
1.5.2
Rank dependent expected utility theory
........ 27
1.5.3
Non-additive expected utility
.............. 32
1.5.4
Regret theory
....................... 33
1.6
Further reading
......................... 35
2
Risk measures
37
2.1
Coherent and convex risk measures
.............. 37
2.1.1
Coherent risk measures
................. 38
2.1.2
Convex risk measures
.................. 39
2.1.3
Representation of risk measures
............. 40
2.1.4
Risk measures and utility
................ 41
2.1.5
Dynamic risk measures
................. 43
2.2
Standard risk measures
..................... 48
2.2.1
Value-at-Risk
....................... 48
2.2.2
CVaR
........................... 54
2.2.3
Spectral measures of risk
................ 59
2.3
Further reading
......................... 62
IX
X
Portfolio
Optimization and Performance Analysis
II Standard portfolio optimization
65
3
Static optimization
67
3.1
Mean-variance analysis
..................... 68
3.1.1
Diversification effect
................... 68
3.1.2
Optimal weights
..................... 71
3.1.3
Additional constraints
.................. 78
3.1.4
Estimation problems
................... 82
3.2
Alternative criteria
....................... 85
3.2.1
Expected utility maximization
............. 85
3.2.2
Risk measure minimization
............... 93
3.3
Further reading
......................... 100
4
Indexed funds and benchmarking
103
4.1
Indexed funds
.......................... 103
4.1.1
Tracking error
...................... 104
4.1.2
Simple index tracking methods
............. 105
4.1.3
The threshold accepting algorithm
........... 106
4.1.4
Cointegration
tracking method
............. 112
4.2
Benchmark portfolio optimization
............... 117
4.2.1
Tracking-error definition
................. 118
4.2.2
Tracking-error minimization
............... 119
4.3
Further reading
......................... 127
5
Portfolio performance
129
5.1
Standard performance measures
................ 130
5.1.1
The Capital Asset Pricing Model
............ 130
5.1.2
The three standard performance measures
....... 132
5.1.3
Other performance measures
.............. 140
5.1.4
Beyond the CAPM
.................... 145
5.2
Performance decomposition
................... 151
5.2.1
The
Fama
decomposition
................ 151
5.2.2
Other performance attributions
............. 153
5.2.3
The external attribution
................. 153
5.2.4
The internal attribution
................. 155
5.3
Further Reading
......................... 163
III Dynamic portfolio optimization
165
6
Dynamic programming optimization
169
6.1
Control theory
.......................... 169
6.1.1
Calculus of variations
.................. 169
6.1.2
Pontryagin and Bellman principles
........... 175
6.1.3
Stochastic optimal control
................ 182
6.2
Lifetime portfolio selection
................... 187
Contents
XI
6.2.1
The optimization problem
................ 187
6.2.2
The deterministic coefficients case
........... 188
6.2.3
The general case
..................... 195
6.2.4
Recursive utility in continuous-time
.......... 203
6.3
Further reading
......................... 205
7
Optimal payoff profiles and long-term management
207
7.1
Optimal payoffs as functions of a benchmark
......... 207
7.1.1
Linear versus option-based strategy
.......... 207
7.2
Application to long-term management
............. 214
7.2.1
Assets dynamics and optimal portfolios
........ 214
7.2.2
Exponential utility
.................... 220
7.2.3
Sensitivity analysis
.................... 223
7.2.4
Distribution of the optimal portfolio return
...... 225
7.3
Further reading
......................... 226
8
Optimization within specific markets
229
8.1
Optimization in incomplete markets
.............. 230
8.1.1
General result based on martingale method
...... 230
8.1.2
Dynamic programming and viscosity solutions
.... 238
8.2
Optimization with constraints
................. 242
8.2.1
General result
....................... 242
8.2.2
Basic examples
...................... 249
8.3
Optimization with transaction costs
.............. 256
8.3.1
The infinite-horizon case
................. 256
8.3.2
The finite-horizon case
.................. 260
8.4
Other frameworks
........................ 263
8.4.1
Labor income
....................... 263
8.4.2
Stochastic horizon
.................... 272
8.5
Further reading
......................... 276
IV Structured portfolio management
279
9
Portfolio insurance
281
9.1
The Option Based Portfolio Insurance
............. 282
9.1.1
The standard OBPI method
............... 284
9.1.2
Extensions of the OBPI method
............ 286
9.2
The Constant Proportion Portfolio Insurance
......... 294
9.2.1
The standard CPPI method
............... 295
9.2.2
CPPI extensions
..................... 303
9.3
Comparison between OBPI and CPPI
............. 305
9.3.1
Comparison at maturity
................. 305
9.3.2
The dynamic behavior of OBPI and CPPI
....... 310
9.4
Further reading
......................... 318
XII
Portfolio
Optimization and Performance Analysis
10
Optimal dynamic portfolio with risk limits
319
10.1
Optimal insured portfolio: discrete-time case
......... 321
10.1.1
Optimal insured portfolio with a fixed number of assets
321
10.1.2
Optimal insured payoffs as functions of a benchmark
. 326
10.2
Optimal Insured Portfolio: the dynamically complete case
. . 333
10.2.1
Guarantee at maturity
.................. 333
10.2.2
Risk exposure and utility function
........... 335
10.2.3
Optimal portfolio with controlled drawdowns
..... 337
10.3
Value-at-Risk and expected shortfall based management
. . . 340
10.3.1
Dynamic safety criteria
................. 340
10.3.2
Expected utility under VaR/CVaR constraints
.... 347
10.4
Further reading
......................... 350
11
Hedge funds
351
11.1
The hedge funds industry
.................... 351
11.1.1
Introduction
....................... 351
11.1.2
Main strategies
...................... 352
11.2
Hedge fund performance
.................... 354
11.2.1
Return distributions
................... 354
11.2.2
Sharpe
ratio limits
.................... 355
11.2.3
Alternative performance measures
........... 362
11.2.4
Benchmarks for alternative investment
......... 368
11.2.5
Measure of the performance persistence
........ 369
11.3
Optimal allocation in hedge funds
............... 370
11.4
Further reading
......................... 371
A Appendix A: Arch Models
373
В
Appendix B: Stochastic Processes
381
References
397
Symbol Description
431
Index
433
|
| adam_txt |
Contents
List of Tables
XIII
List of Figures XV
I Utility and risk analysis
1
1
Utility theory
5
1.1
Preferences under uncertainty
. 7
1.1.1
Lotteries
. 7
1.1.2
Axioms on preferences
. 8
1.2
Expected utility
. 9
1.3
Risk aversion
. 11
1.3.1
Arrow-Pratt measures of risk aversion
. 13
1.3.2
Standard utility functions
. 15
1.3.3
Applications to portfolio allocation
. 17
1.4
Stochastic dominance
. 19
1.5
Alternative expected utility theory
. 24
1.5.1
Weighted utility theory
. 25
1.5.2
Rank dependent expected utility theory
. 27
1.5.3
Non-additive expected utility
. 32
1.5.4
Regret theory
. 33
1.6
Further reading
. 35
2
Risk measures
37
2.1
Coherent and convex risk measures
. 37
2.1.1
Coherent risk measures
. 38
2.1.2
Convex risk measures
. 39
2.1.3
Representation of risk measures
. 40
2.1.4
Risk measures and utility
. 41
2.1.5
Dynamic risk measures
. 43
2.2
Standard risk measures
. 48
2.2.1
Value-at-Risk
. 48
2.2.2
CVaR
. 54
2.2.3
Spectral measures of risk
. 59
2.3
Further reading
. 62
IX
X
Portfolio
Optimization and Performance Analysis
II Standard portfolio optimization
65
3
Static optimization
67
3.1
Mean-variance analysis
. 68
3.1.1
Diversification effect
. 68
3.1.2
Optimal weights
. 71
3.1.3
Additional constraints
. 78
3.1.4
Estimation problems
. 82
3.2
Alternative criteria
. 85
3.2.1
Expected utility maximization
. 85
3.2.2
Risk measure minimization
. 93
3.3
Further reading
. 100
4
Indexed funds and benchmarking
103
4.1
Indexed funds
. 103
4.1.1
Tracking error
. 104
4.1.2
Simple index tracking methods
. 105
4.1.3
The threshold accepting algorithm
. 106
4.1.4
Cointegration
tracking method
. 112
4.2
Benchmark portfolio optimization
. 117
4.2.1
Tracking-error definition
. 118
4.2.2
Tracking-error minimization
. 119
4.3
Further reading
. 127
5
Portfolio performance
129
5.1
Standard performance measures
. 130
5.1.1
The Capital Asset Pricing Model
. 130
5.1.2
The three standard performance measures
. 132
5.1.3
Other performance measures
. 140
5.1.4
Beyond the CAPM
. 145
5.2
Performance decomposition
. 151
5.2.1
The
Fama
decomposition
. 151
5.2.2
Other performance attributions
. 153
5.2.3
The external attribution
. 153
5.2.4
The internal attribution
. 155
5.3
Further Reading
. 163
III Dynamic portfolio optimization
165
6
Dynamic programming optimization
169
6.1
Control theory
. 169
6.1.1
Calculus of variations
. 169
6.1.2
Pontryagin and Bellman principles
. 175
6.1.3
Stochastic optimal control
. 182
6.2
Lifetime portfolio selection
. 187
Contents
XI
6.2.1
The optimization problem
. 187
6.2.2
The deterministic coefficients case
. 188
6.2.3
The general case
. 195
6.2.4
Recursive utility in continuous-time
. 203
6.3
Further reading
. 205
7
Optimal payoff profiles and long-term management
207
7.1
Optimal payoffs as functions of a benchmark
. 207
7.1.1
Linear versus option-based strategy
. 207
7.2
Application to long-term management
. 214
7.2.1
Assets dynamics and optimal portfolios
. 214
7.2.2
Exponential utility
. 220
7.2.3
Sensitivity analysis
. 223
7.2.4
Distribution of the optimal portfolio return
. 225
7.3
Further reading
. 226
8
Optimization within specific markets
229
8.1
Optimization in incomplete markets
. 230
8.1.1
General result based on martingale method
. 230
8.1.2
Dynamic programming and viscosity solutions
. 238
8.2
Optimization with constraints
. 242
8.2.1
General result
. 242
8.2.2
Basic examples
. 249
8.3
Optimization with transaction costs
. 256
8.3.1
The infinite-horizon case
. 256
8.3.2
The finite-horizon case
. 260
8.4
Other frameworks
. 263
8.4.1
Labor income
. 263
8.4.2
Stochastic horizon
. 272
8.5
Further reading
. 276
IV Structured portfolio management
279
9
Portfolio insurance
281
9.1
The Option Based Portfolio Insurance
. 282
9.1.1
The standard OBPI method
. 284
9.1.2
Extensions of the OBPI method
. 286
9.2
The Constant Proportion Portfolio Insurance
. 294
9.2.1
The standard CPPI method
. 295
9.2.2
CPPI extensions
. 303
9.3
Comparison between OBPI and CPPI
. 305
9.3.1
Comparison at maturity
. 305
9.3.2
The dynamic behavior of OBPI and CPPI
. 310
9.4
Further reading
. 318
XII
Portfolio
Optimization and Performance Analysis
10
Optimal dynamic portfolio with risk limits
319
10.1
Optimal insured portfolio: discrete-time case
. 321
10.1.1
Optimal insured portfolio with a fixed number of assets
321
10.1.2
Optimal insured payoffs as functions of a benchmark
. 326
10.2
Optimal Insured Portfolio: the dynamically complete case
. . 333
10.2.1
Guarantee at maturity
. 333
10.2.2
Risk exposure and utility function
. 335
10.2.3
Optimal portfolio with controlled drawdowns
. 337
10.3
Value-at-Risk and expected shortfall based management
. . . 340
10.3.1
Dynamic safety criteria
. 340
10.3.2
Expected utility under VaR/CVaR constraints
. 347
10.4
Further reading
. 350
11
Hedge funds
351
11.1
The hedge funds industry
. 351
11.1.1
Introduction
. 351
11.1.2
Main strategies
. 352
11.2
Hedge fund performance
. 354
11.2.1
Return distributions
. 354
11.2.2
Sharpe
ratio limits
. 355
11.2.3
Alternative performance measures
. 362
11.2.4
Benchmarks for alternative investment
. 368
11.2.5
Measure of the performance persistence
. 369
11.3
Optimal allocation in hedge funds
. 370
11.4
Further reading
. 371
A Appendix A: Arch Models
373
В
Appendix B: Stochastic Processes
381
References
397
Symbol Description
431
Index
433 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Prigent, Jean-Luc |
| author_facet | Prigent, Jean-Luc |
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| ctrlnum | (OCoLC)74968400 (DE-599)BVBBV022720097 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV022720097 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:29:48Z |
| indexdate | 2024-07-09T21:04:27Z |
| institution | BVB |
| isbn | 1584885785 9781584885788 |
| language | English |
| lccn | 2006100727 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015925836 |
| oclc_num | 74968400 |
| open_access_boolean | |
| owner | DE-703 DE-29T DE-473 DE-BY-UBG DE-739 DE-19 DE-BY-UBM |
| owner_facet | DE-703 DE-29T DE-473 DE-BY-UBG DE-739 DE-19 DE-BY-UBM |
| physical | XVI, 434 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Chapman & Hall/CRC |
| record_format | marc |
| series2 | Chapman & Hall/CRC financial mathematics series |
| spelling | Prigent, Jean-Luc Verfasser aut Portfolio optimization and performance analysis Jean-Luc Prigent Boca Raton, Fla. [u.a.] Chapman & Hall/CRC 2007 XVI, 434 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC financial mathematics series Includes bibliographical references and index Analyse financière Fonds spéculatifs Gestion de portefeuille Portfolio management Investment analysis Hedge funds Investitionsanalyse (DE-588)4273190-2 gnd rswk-swf Hedge Fund (DE-588)4444016-9 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s DE-604 Investitionsanalyse (DE-588)4273190-2 s Hedge Fund (DE-588)4444016-9 s http://www.loc.gov/catdir/toc/ecip076/2006100727.html Table of contents only http://www.loc.gov/catdir/enhancements/fy0704/2006100727-d.html Publisher description Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015925836&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Prigent, Jean-Luc Portfolio optimization and performance analysis Analyse financière Fonds spéculatifs Gestion de portefeuille Portfolio management Investment analysis Hedge funds Investitionsanalyse (DE-588)4273190-2 gnd Hedge Fund (DE-588)4444016-9 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4273190-2 (DE-588)4444016-9 (DE-588)4115601-8 |
| title | Portfolio optimization and performance analysis |
| title_auth | Portfolio optimization and performance analysis |
| title_exact_search | Portfolio optimization and performance analysis |
| title_exact_search_txtP | Portfolio optimization and performance analysis |
| title_full | Portfolio optimization and performance analysis Jean-Luc Prigent |
| title_fullStr | Portfolio optimization and performance analysis Jean-Luc Prigent |
| title_full_unstemmed | Portfolio optimization and performance analysis Jean-Luc Prigent |
| title_short | Portfolio optimization and performance analysis |
| title_sort | portfolio optimization and performance analysis |
| topic | Analyse financière Fonds spéculatifs Gestion de portefeuille Portfolio management Investment analysis Hedge funds Investitionsanalyse (DE-588)4273190-2 gnd Hedge Fund (DE-588)4444016-9 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Analyse financière Fonds spéculatifs Gestion de portefeuille Portfolio management Investment analysis Hedge funds Investitionsanalyse Hedge Fund Portfoliomanagement |
| url | http://www.loc.gov/catdir/toc/ecip076/2006100727.html http://www.loc.gov/catdir/enhancements/fy0704/2006100727-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015925836&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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