Optimizing optimization: the next generation of optimization applications and theory
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Amsterdam [u.a.]
Elsevier
2010
|
| Schriftenreihe: | Quantitative finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 306 S. Ill., graph. Darst. |
| ISBN: | 9780123749529 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV036111039 | ||
| 003 | DE-604 | ||
| 005 | 20110128 | ||
| 007 | t | ||
| 008 | 100408s2010 ad|| |||| 00||| eng d | ||
| 020 | |a 9780123749529 |9 978-0-12-374952-9 | ||
| 035 | |a (OCoLC)634364241 | ||
| 035 | |a (DE-599)BSZ319342727 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-703 | ||
| 084 | |a QK 810 |0 (DE-625)141682: |2 rvk | ||
| 245 | 1 | 0 | |a Optimizing optimization |b the next generation of optimization applications and theory |c Stephen Satchell ... |
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier |c 2010 | |
| 300 | |a XVI, 306 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Quantitative finance series | |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Portfolio Selection |0 (DE-588)4046834-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Satchell, Stephen |d 1949- |e Sonstige |0 (DE-588)131930710 |4 oth | |
| 856 | 4 | 2 | |m GBV Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019001223&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-019001223 | ||
Datensatz im Suchindex
| _version_ | 1804141212171501568 |
|---|---|
| adam_text | OPTIMIZING OPTIMIZATION THE NEXT GENERATION OF OPTIMIZATION APPLICATIONS
AND THEORY STEPHEN SATCHEU AMSTERDAM * BOSTON * HEIDELBERG * LONDON *
NEW YORK OXFORD * PARIS * SAN DIEGO * SAN FRANCISCO * SINGAPORE SYDNEY *
TOKYO ELSEVIER ACADEMIC PRESS IS AN IMPRINT OF ELSEVIER CONTENTS LIST OF
CONTRIBUTORS XI SECTION ONE PRACTITIONERS AND PRODUCTS 1 1 ROBUST
PORTFOLIO OPTIMIZATION USING SECOND-ORDER CONE PROGRAMMING 3 FIONA
KOLBERT AND LAURENCE WORMALD EXECUTIVE SUMMARY 3 1.1 INTRODUCTION 3 1.2
ALPHA UNCERTAINTY 4 1.3 CONSTRAINTS ON SYSTEMATIC AND SPECIFIC RISK 6
1.4 CONSTRAINTS ON RISK USING MORE THAN ONE MODEL 12 1.5 COMBINING
DIFFERENT RISK MEASURES 16 1.6 FUND OFFUNDS 18 1.7 CONCLUSION 22
REFERENCES 22 2 NOVEL APPROACHES TO PORTFOLIO CONSTRUCTION: MULTIPLE
RISK MODEIS AND MULTISOLUTION GENERATION 23 SEBASTIAN CERIA, FRANCOIS
MARGOT, ANTHONY RENSHAW AND ANUREET SAXENA EXECUTIVE SUMMARY 23 2.1
INTRODUCTION 23 2.2 PORTFOLIO CONSTRUCTION USING MULTIPLE RISK MODEIS 25
2.2.1 OUT-OF-SAMPLE RESULTS 33 2.2.2 DISCUSSION AND CONCLUSIONS 34 2.3
MULTISOLUTION GENERATION 35 2.3.1 CONSTRAINT ELASTICITY 39 2.3.2
INTRACTABLE METRICS 41 2.4 CONCLUSIONS 51 REFERENCES 52 3 OPTIMAL
SOLUTIONS FOR OPTIMIZATION IN PRACTICE 53 DARYL ROXBURGH, KATJA SCHERER
AND TIM MATTHEWS EXECUTIVE SUMMARY 53 3.1 INTRODUCTION 53 3.1.1 BITA
STAR *» 54 3.1.2 BITA MONITOR*» 54 3.1.3 BITACURVE (TM) 3.1.4 BITA
OPTIMIZER * 3.2 PORTFOLIO OPTIMIZATION 3.2.1 THE NEED FOR OPTIMIZATION
3.2.2 APPLICATIONS OF PORTFOLIO OPTIMIZATION 3.2.3 PROGRAM TRADING 3.2.4
LONG-SHORT PORTFOLIO CONSTRUCTION 3.2.5 ACTIVE QUANT MANAGEMENT 3.2.6
ASSET ALLOCATION 3.2.7 INDEX TRACKING 3.3 MEAN-VARIANCE OPTIMIZATION
3.3.1 A TECHNICAL OVERVIEW 3.3.2 THE BITA OPTIMIZER*FUNCTIONAL SUMMARY
3.4 ROBUST OPTIMIZATION 3.4.1 BACKGROUND 3.4.2 INTRODUCTION 3.4.3
REFORMULATION OF MEAN-VARIANCE OPTIMIZATION 3.4.4 BITA ROBUST
APPLICATIONS TO CONTROLLING FE 3.4.5 FE CONSTRAINTS 3.4.6 PRELIMINARY
RESULTS 3.4.7 MEAN FORECAST INTERVALS 3.4.8 EXPLICIT RISK BUDGETING 3.5
BITA GLO (TM) GAIN/LOSS OPTIMIZATION 3.5.1 INTRODUCTION 3.5.2 OMEGA AND
GLO 3.5.3 CHOICE OF INPUTS 3.5.4 ANALYSIS AND COMPARISON 3.5.5 MAXIMUM
HOLDING = 100% 3.5.6 ADDING 25% INVESTMENT CONSTRAINT 3.5.7
DOWN-TRIMMING OF EMERGING MARKET RETURNS 3.5.8 SQUARED LOSSES 3.5.9
CONCLUSIONS 3.6 COMBINED OPTIMIZATIONS 3.6.1 INTRODUCTION 3.6.2
DISCUSSION 3.6.3 THE MODEL 3.6.4 INCORPORATION OF ALPHA AND RISK MODEL
INFORMATION 3.7 PRACTICAL APPLICATIONS: CHARITIES AND ENDOWMENTS 3.7.1
INTRODUCTION 3.7.2 WHY ENDOWMENTS MATTER 3.7.3 MANAGING ENDOWMENTS 3.7.4
THE SPECIFICATION 3.7.5 TRUSTEES ATTITUDE TO RISK 3.7.6 DECISION MAKING
UNDER UNCERTAINTY 3.7.7 PRACTICAL IMPLICATIONS OF RISK AVERSION CONTENTS
VII 3.8 BESPOKE OPTIMIZATION*PUTTING THEORY INTO PRACTICE 86 3.8.1
REQUEST: PRODUCE OPTIMAL PORTFOLIO WITH EXACTLY 50 LONG AND 50 SHORT
HOLDINGS 86 3.8.2 REQUEST: HOW TO OPTIMIZE IN THE ABSENCE OF FORECAST
RETURNS 86 3.9 CONCLUSIONS 87 APPENDIX A: BITA ROBUST OPTIMIZATION 88
APPENDIX B: BITA GLO 89 REFERENCES 90 4 THE WINDHAM PORTFOLIO ADVISOR 93
MARK KRITZMAN EXECUTIVE SUMMARY 93 4.1 INTRODUCTION 93 4.2 MULTIGOAL
OPTIMIZATION 94 4.2.1 THE PROBLEM 94 4.2.2 THE WPA SOLUTION 94 4.2.3
SUMMARY 97 4.3 WITHIN-HORIZON RISK MEASUREMENT 97 4.3.1 THE PROBLEM 97
4.3.2 THE WPA SOLUTION 97 4.4 RISKREGIMES 101 4.4.1 THE PROBLEM 101
4.4.2 THE WPA SOLUTION 101 4.4.3 SUMMARY 104 4.5 FULL-SCALE OPTIMIZATION
104 4.5.1 THE PROBLEM 104 4.5.2 THE WPA SOLUTION 104 4.5.3 SUMMARY 107
APPENDIX*WPA FEATURES 111 REFERENCES 113 SECTION TWO THEORY 115 5
MODELING, ESTIMATION, AND OPTIMIZATION OF EQUITY PORTFOLIOS WITH
HEAVY-TAILED DISTRIBUTIONS 117 ALMIRA BIGLOVA, SERGIO ORTOBELLI,
SVETLOZAR RACHEV AND FRANK J. FABOZZI EXECUTIVE SUMMARY 117 5.1
INTRODUCTION 117 5.2 EMPIRICAL EVIDENCE FROM THE DOW JONES INDUSTRIAL
AVERAGE COMPONENTS 119 5.3 GENERATION OF SCENARIOS CONSISTENT WITH
EMPIRICAL EVIDENCE 121 5.3.1 THE PORTFOLIO DIMENSIONALITY PROBLEM 121
5.3.2 GENERATION OF RETURN SCENARIOS 126 CONTENTS 5.4 THE PORTFOLIO
SELECTION PROBLEM ---* 130 5.4.1 REVIEW OF PERFORMANCE RATIOS *= * 132
5.4.2 AN EMPIRICAL COMPARISON AMONG PORTFOLIO STRATEGIES 134 5.5
CONCLUDING REMARKS 136 REFERENCES 140 STAYING AHEAD ON DOWNSIDE RISK 143
GIULIANO DE ROSSI EXECUTIVE SUMMARY 143 6.1 INTRODUCTION 143 6.2
MEASURING DOWNSIDE RISK: VAR AND EVAR 145 6.2.1 DEFINITION AND
PROPERTIES 145 6.2.2 MODELING EVAR DYNAMICALLY 147 6.3 THE ASSET
ALLOCATION PROBLEM 150 6.4 EMPIRICAL ILLUSTRATION 153 6.5 CONCLUSION 158
REFERENCES 159 OPTIMIZATION AND PORTFOLIO SELECTION 161 HAI FORSEY AND
FRANK SORTINO EXECUTIVE SUMMARY 161 7.1 INTRODUCTION 161 7.2 PART 1: THE
FORSEY-SORTINO OPTIMIZER 162 7.2.1 BASIC ASSUMPTIONS 162 7.2.2 OPTIMIZE
OR MEASURE PERFORMANCE 165 7.3 PART 2: THE DTR OPTIMIZER 167 APPENDIX:
FORMAL DEFINITIONS AND PROCEDURES 171 REFERENCES 1 77 COMPUTING OPTIMAL
MEAN/DOWNSIDE RISK FRONTIERS: THE ROLE OF ELLIPTICITY 179 TONY HALL AND
STEPHEN E. SATCHEU EXECUTIVE SUMMARY 179 8.1 INTRODUCTION 179 8.2 MAIN
PROPOSITION 180 8.3 THE CASE OF TWO ASSETS 184 8.4 CONICRESULTS 190 8.5
SIMULATION METHODOLOGY 194 8.6 CONCLUSION 198 REFERENCES 198 PORTFOLIO
OPTIMIZATION WITH THRESHOLD ACCEPTING : A PRACTICAL GUIDE 201 MANFRED
GILLI AND ENRICO SCHUMANN EXECUTIVE SUMMARY 201 CONTENTS 9.1
INTRODUCTION 9.2 PORTFOLIO OPTIMIZATION PROBLEMS 9.2.1 RISK AND REWARD
9.2.2 THE PROBLEM SUMMARIZED 9.3 THRESHOLD ACCEPTING 9.3.1 THE ALGORITHM
9.3.2 IMPLEMENTATION 9.4 STOCHASTICS 9.5 DIAGNOSTICS 9.5.1 BENCHMARKING
THE ALGORITHM 9.5.2 ARBITRAGE OPPORTUNITIES 9.5.3 DEGENERATE OBJECTIVE
FUNCTIONS 9.5.4 THE NEIGHBORHOOD AND THE THRESHOLDS 9.6 CONCLUSION
ACKNOWLEDGMENT REFERENCES 10 SOME PROPERTIES OF AVERAGING SIMULATED
OPTIMIZATION METHODS JOHN KNIGHT AND STEPHEN E. SATCHEU EXECUTIVE
SUMMARY 10.1 SECTION 1 10.2 SECTION 2 10.3 REMARK 1 10.4 SECTION 3:
FINITE SAMPLE PROPERTIES OF ESTIMATORS OF ALPHA AND TRACKING ERROR 10.5
REMARK 2 10.6 REMARK 3 10.7 SECTION 4 10.8 SECTION 5: GENERAL LINEAR
RESTRICTIONS 10.9 SECTION 6 10.10 SECTION 7: CONCLUSION ACKNOWLEDGMENT
REFERENCES 201 204 204 209 210 210 211 215 218 218 218 219 219 220 221
221 225 225 225 226 229 230 235 236 236 238 241 244 244 245 11 HEURISTIC
PORTFOLIO OPTIMIZATION: BAYESIAN UPDATING WITH THE JOHNSON FAMILY OF
DISTRIBUTIONS 247 RICHARD LOUTH EXECUTIVE SUMMARY 247 11.1 INTRODUCTION
247 11.2 A BRIEF HISTORY OF PORTFOLIO OPTIMIZATION 248 11.3 THE JOHNSON
FAMILY 251 11.3.1 BASIC PROPERTIES 251 11.3.2 DENSITY ESTIMATION 254 X
CONTENTS 11.3.3 SIMULATING JOHNSON RANDOM VARIATES 256 11.4 THE
PORTFOLIO OPTIMIZATION ALGORITHM 257 11.4.1 THE MAXIMJZATION PROBLEM 257
11.4.2 THE THRESHOLD ACCEPTANCE ALGORITHM 260 11.5 DATA REWEIGHTING 261
11.6 ALPHA INFORMATION 262 11.7 EMPIRICAL APPLICATION 265 11.7.1 THE
DECAY FACTOR, P 266 11.7.2 THE COEFFICIENT OF DISAPPOINTMENT AVERSION, A
268 11.7.3 THE IMPORTANCE OF NON-GAUSSIANITY 268 11.8 CONCLUSION 271
11.9 APPENDIX 272 REFERENCES 278 12 MORE THAN YOU EVER WANTED TO KNOW
ABOUT CONDITIONAL VALUE AT RISK OPTIMIZATION 283 BERND SCHERER EXECUTIVE
SUMMARY 283 12.1 INTRODUCTION: RISK MEASURES AND THEIR AXIOMATIC
FOUNDATIONS 283 12.2 A SIMPLE ALGORITHM FOR CVAR OPTIMIZATION 285 12.3
DOWNSIDE RISK MEASURES 288 12.3.1 DO WE NEED DOWNSIDE RISK MEASURES? 288
12.3.2 HOW MUCH MOMENTUM INVESTING IS IN A DOWNSIDE RISK MEASURE? 288
12.3.3 WILL DOWNSIDE RISK MEASURES LEAD TO UNDER-DIVERSIFICATION ? 290
12.4 SCENARIO GENERATION I: THE IMPACT OF ESTIMATION AND APPROXIMATION
ERROR 292 12.4.1 ESTIMATION ERROR 292 12.4.2 APPROXIMATION ERROR 293
12.5 SCENARIO GENERATION II: CONDITIONAL VERSUS UNCONDITIONAL RISK
MEASURES 295 12.6 AXIOMATIC DIFFICULTIES: WHO HAS CVAR PREFERENCES
ANYWAY? 296 12.7 CONCLUSION 298 ACKNOWLEDGMENT 298 REFERENCES 298 INDEX
301
|
| any_adam_object | 1 |
| author_GND | (DE-588)131930710 |
| building | Verbundindex |
| bvnumber | BV036111039 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)634364241 (DE-599)BSZ319342727 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01280nam a2200325 c 4500</leader><controlfield tag="001">BV036111039</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20110128 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">100408s2010 ad|| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780123749529</subfield><subfield code="9">978-0-12-374952-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)634364241</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BSZ319342727</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 810</subfield><subfield code="0">(DE-625)141682:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Optimizing optimization</subfield><subfield code="b">the next generation of optimization applications and theory</subfield><subfield code="c">Stephen Satchell ...</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Amsterdam [u.a.]</subfield><subfield code="b">Elsevier</subfield><subfield code="c">2010</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVI, 306 S.</subfield><subfield code="b">Ill., graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Quantitative finance series</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Satchell, Stephen</subfield><subfield code="d">1949-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)131930710</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">GBV Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019001223&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-019001223</subfield></datafield></record></collection> |
| id | DE-604.BV036111039 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:12:17Z |
| institution | BVB |
| isbn | 9780123749529 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-019001223 |
| oclc_num | 634364241 |
| open_access_boolean | |
| owner | DE-703 |
| owner_facet | DE-703 |
| physical | XVI, 306 S. Ill., graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Elsevier |
| record_format | marc |
| series2 | Quantitative finance series |
| spelling | Optimizing optimization the next generation of optimization applications and theory Stephen Satchell ... Amsterdam [u.a.] Elsevier 2010 XVI, 306 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Quantitative finance series Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s DE-604 Satchell, Stephen 1949- Sonstige (DE-588)131930710 oth GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019001223&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Optimizing optimization the next generation of optimization applications and theory Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4046834-3 |
| title | Optimizing optimization the next generation of optimization applications and theory |
| title_auth | Optimizing optimization the next generation of optimization applications and theory |
| title_exact_search | Optimizing optimization the next generation of optimization applications and theory |
| title_full | Optimizing optimization the next generation of optimization applications and theory Stephen Satchell ... |
| title_fullStr | Optimizing optimization the next generation of optimization applications and theory Stephen Satchell ... |
| title_full_unstemmed | Optimizing optimization the next generation of optimization applications and theory Stephen Satchell ... |
| title_short | Optimizing optimization |
| title_sort | optimizing optimization the next generation of optimization applications and theory |
| title_sub | the next generation of optimization applications and theory |
| topic | Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Portfolio Selection |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019001223&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT satchellstephen optimizingoptimizationthenextgenerationofoptimizationapplicationsandtheory |