Risk-sensitive investment management:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hackensack, NJ [u.a.]
World Scientific
2015
|
| Schriftenreihe: | Advanced series on statistical science & applied probability
19 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XVI, 397 S. graph. Darst. |
| ISBN: | 9789814578042 9789814578035 |
Internformat
MARC
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| 010 | |a 2014026649 | ||
| 020 | |a 9789814578042 |c pbk. : alk. paper |9 978-981-4578-04-2 | ||
| 020 | |a 9789814578035 |c hardcover : alk. paper |9 978-981-4578-03-5 | ||
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| 100 | 1 | |a Davis, Mark H. A. |d 1945-2020 |e Verfasser |0 (DE-588)120781611 |4 aut | |
| 245 | 1 | 0 | |a Risk-sensitive investment management |c Mark H.A. Davis ; Sébastien Lleo |
| 264 | 1 | |a Hackensack, NJ [u.a.] |b World Scientific |c 2015 | |
| 300 | |a XVI, 397 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Advanced series on statistical science & applied probability |v 19 | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Stochastische optimale Kontrolle |0 (DE-588)4207850-7 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risiko |0 (DE-588)4050129-2 |2 gnd |9 rswk-swf |
| 653 | |a Portfolio management |a Mathematical models | ||
| 653 | |a Investments |a Mathematical models | ||
| 653 | |a Risk |a Mathematical models | ||
| 689 | 0 | 0 | |a Portfolio Selection |0 (DE-588)4046834-3 |D s |
| 689 | 0 | 1 | |a Stochastische optimale Kontrolle |0 (DE-588)4207850-7 |D s |
| 689 | 0 | 2 | |a Risiko |0 (DE-588)4050129-2 |D s |
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| 700 | 1 | |a Lleo, Sébastien |e Verfasser |0 (DE-588)1066218609 |4 aut | |
| 830 | 0 | |a Advanced series on statistical science & applied probability |v 19 |w (DE-604)BV011932321 |9 19 | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027584902&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-027584902 | ||
Datensatz im Suchindex
| _version_ | 1804152632438161408 |
|---|---|
| adam_text | Contents
Preface
v
Part I. Diffusion Models
1
1.
The Merton Problem
3
1.1
Problem Formulation
.................... 4
1.2
Logarithmic Utility
..................... 6
1.3
Dynamic Programming
................... 8
1.4
Measure Change
....................... 10
1.5
Duality Approach
...................... 12
1.6
The Mutual Fund Theorem
................. 14
2.
Risk-Sensitive Asset Management
17
2.1
Financial Market and Investment Portfolio
........ 17
2.2
Risk-Sensitive Asset Management Criterion
........ 20
2.3
Warm-Up: Solving the Risk-Sensitive Asset
Management Problem When Asset and Factor
Risks Are Uncorrelated
................... 23
2.4
Solving the Risk-Sensitive Asset Management Problem
in the General Case
..................... 25
2.5
Making the Link with the Merton Problem
........ 34
2.6
Fund Separation Results
.................. 35
3.
Managing Against a Benchmark
41
3.1
Financial Market, Investment Portfolio
and Benchmark
....................... 43
3.2
Risk-Sensitive Asset Management Criterion
........ 45
ХШ
xiv
Risk-Sensitive Investment Management
3.3
Solving the Benchmarked Asset Management
Problem
........................... 46
3.4
Fund Separation Results
.................. 50
3.5
Cases in Benchmarked Asset Management
........ 53
4.
Asset and Liability Management
57
4.1
Assets, Liabilities and Equity
............... 58
4.2
Risk-Sensitive Asset Management Criterion
........ 62
4.3
Warm-Up: Uncorrelated Asset, Liability and
Factor Noise
......................... 64
4.4
Solving the Risk-Sensitive Asset and Liability
Management Problem in the General Case
........ 67
4.5
Economic Interpretation and Fund Separation
Theorems
.......................... 81
5.
Investment Constraints
89
5.1
Constrained Asset Management
.............. 90
5.2
Constrained Benchmarked Asset Management
...... 98
5.3
Constrained Asset and Liability Management
...... 101
6.
Infinite Horizon Problems
109
6.1
Preliminary: A Few Useful Definitions and Properties
from Dynamical Systems
.................. 109
6.2
Asset Management Model
.................
Ill
6.3
Benchmark
.......................... 114
6.4
ALM
............................. 117
Part II. Jump-Diffusion Models
129
7.
Jumps in Asset Prices
131
7.1
Poisson
Point Processes and Jump-Diffusion SDEs
.... 133
7.2
Analytical Setting for Asset Allocation
.......... 140
7.3
Problem Setup
........................ 143
7.4
Main Result
......................... 146
7.5
Maximisation of the Hamiltonian
............. 148
7.6
Verification Theorems
.................... 149
7.7
Existence of a Classical Solution
.............. 154
7.8
Admissibility of the Optimal Control Policy
....... 163
Contents xv
8. General
Jump-Diffusion Setting
169
8.1
Analytical Setting
...................... 170
8.2 Dynamic Programming
and the Value Function
..... 177
8.3
Existence of a Classical (C1 2) Solution
.......... 182
8.4
Identifying the Optimal Strategy
............. 198
8.5
Appendix: Proof of Proposition
8.13 ........... 200
9.
Fund Separation and Fractional Kelly Strategies
207
9.1
Setting
............................ 208
9.2
No Jumps in Asset Prices:
7ΞΟ
............. 213
9.3
The Kelly Portfolio
..................... 214
9.4
The
Intertemporal
Hedging Portfolio
........... 216
9.5
Uncorrelated Asset and Factor Diffusion:
ΣΛ
= 0 .... 222
9.6
General Fund Separation Theorem and Fractional
Kelly Strategies
....................... 225
10-
Managing Against a Benchmark: Jump-Diffusion Case
227
10.1
Introduction
......................... 227
10.2
Financial Market, Investment Portfolio
and Benchmark
....................... 228
10.3
Dynamic Programming and the Value Function
..... 235
10.4
Existence of a Classical (C1 2) Solution Under
Affine
Drift Assumptions
...................... 241
10.5
Existence of a Classical (C1 2) Solution Under
Standard Control Assumptions
............... 244
10.6
Fund Separation Theorem
................. 246
11.
Asset and Liability Management: Jump-Diffusion Case
261
11.1
Introduction
......................... 261
11.2
Financial Market, Investment Portfolio and Liability
. . 262
11.3
Formulation of the Asset and Liability Management
Problem
........................... 264
11.4
Dynamic Programming and the Value Function
..... 270
11.5
Solving the
ALM
Problem Under
Affine
Drift
Assumptions
.................·....... 276
11.6
Solving the
ALM
Problem Under Standard Control
Assumptions
......................... 279
11.7
Admissibility of the Optimal Control Policy
....... 281
11.8
Fund Separation Theorem
................. 285
xvi
Risk-Sensitive Investment Management
Part III. Implementation
305
12.
Factor and Securities Models
307
12.1
Interest Rates and Bond Prices
.............. 308
12.2
Addressing the Potential Negativity of Factors
...... 310
13.
Case Studies
317
13.1
Asset Management: Does the Factor X Matter?
..... 318
13.2
Benchmarks: From Active Management to Benchmark
(Super) Replication
..................... 323
13.3
Asset and Liability Management: Nature
of the Liability
........................ 330
13.4
Asset and Liability Management: The Danger
of Overbetting
........................ 346
14.
Numerical Methods
349
14.1
Preliminary: The Stochastic Control Problem Under
the Measure
Ρ
........................ 349
14.2
Approximation in Policy Space
.......,....... 352
14.3
Kushner s Method
...................... 353
15.
Factor Estimation: Filtering and Black-Litterman
367
15.1
Estimation and Filtering
.................. 368
15.2
Latent Variable Factors
................... 372
15.3
Black-Litterman in Continuous Time
........... 376
15.4
Concluding Remarks
.................... 382
Bibliography
385
Index
393
|
| any_adam_object | 1 |
| author | Davis, Mark H. A. 1945-2020 Lleo, Sébastien |
| author_GND | (DE-588)120781611 (DE-588)1066218609 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.601/51 |
| dewey-search | 332.601/51 |
| dewey-sort | 3332.601 251 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV042145000 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:13:48Z |
| institution | BVB |
| isbn | 9789814578042 9789814578035 |
| language | English |
| lccn | 2014026649 |
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| series2 | Advanced series on statistical science & applied probability |
| spelling | Davis, Mark H. A. 1945-2020 Verfasser (DE-588)120781611 aut Risk-sensitive investment management Mark H.A. Davis ; Sébastien Lleo Hackensack, NJ [u.a.] World Scientific 2015 XVI, 397 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advanced series on statistical science & applied probability 19 Includes bibliographical references and index Mathematisches Modell Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Stochastische optimale Kontrolle (DE-588)4207850-7 gnd rswk-swf Risiko (DE-588)4050129-2 gnd rswk-swf Portfolio management Mathematical models Investments Mathematical models Risk Mathematical models Portfolio Selection (DE-588)4046834-3 s Stochastische optimale Kontrolle (DE-588)4207850-7 s Risiko (DE-588)4050129-2 s DE-604 Lleo, Sébastien Verfasser (DE-588)1066218609 aut Advanced series on statistical science & applied probability 19 (DE-604)BV011932321 19 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027584902&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Davis, Mark H. A. 1945-2020 Lleo, Sébastien Risk-sensitive investment management Advanced series on statistical science & applied probability Mathematisches Modell Portfolio Selection (DE-588)4046834-3 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd Risiko (DE-588)4050129-2 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4207850-7 (DE-588)4050129-2 |
| title | Risk-sensitive investment management |
| title_auth | Risk-sensitive investment management |
| title_exact_search | Risk-sensitive investment management |
| title_full | Risk-sensitive investment management Mark H.A. Davis ; Sébastien Lleo |
| title_fullStr | Risk-sensitive investment management Mark H.A. Davis ; Sébastien Lleo |
| title_full_unstemmed | Risk-sensitive investment management Mark H.A. Davis ; Sébastien Lleo |
| title_short | Risk-sensitive investment management |
| title_sort | risk sensitive investment management |
| topic | Mathematisches Modell Portfolio Selection (DE-588)4046834-3 gnd Stochastische optimale Kontrolle (DE-588)4207850-7 gnd Risiko (DE-588)4050129-2 gnd |
| topic_facet | Mathematisches Modell Portfolio Selection Stochastische optimale Kontrolle Risiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027584902&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV011932321 |
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