Portfolio Optimization and Performance Analysis

Name: Portfolio Optimization and Performance Analysis
Brand: Taylor & Francis Inc
Price: 359.75 AUD
Availability: BackOrder

By: Jean-Luc Prigent

Write A Review

Hardcover | 7 May 2007 | Edition Number 1

At a Glance

Hardcover
456 Pages

Dimensions(cm)
23.4 x 15.6 x 3.0

Hardcover

RRP $420.00

$359.75

14%OFF

or 4 interest-free payments of $89.94 with

Available for Backorder. We will order this from our supplier however there isn't a current ETA.

In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization.

Divided into four sections that mirror the book's aims, this resource first describes the fundamental results of decision theory, including utility maximization and risk measure minimization. Covering both active and passive portfolio management, the second part discusses standard portfolio optimization and performance measures. The book subsequently introduces dynamic portfolio optimization based on stochastic control and martingale theory. It also outlines portfolio optimization with market frictions, such as incompleteness, transaction costs, labor income, and random time horizon. The final section applies theoretical results to practical portfolio optimization, including structured portfolio management. It details portfolio insurance methods as well as performance measures for alternative investments, such as hedge funds.

Taking into account the different features of portfolio management theory, this book promotes a thorough understanding for students and professionals in the field.

Industry Reviews

"The book will be interesting both to academic and professional readers, for it well introduces modern portfolio problems, which can be studied theoretically and/or practically."
-Mathematical Reviews

"...the text is easy to follow. The illustrations provided nicely blend with the theory and discussions. ... the book should be very attractive to graduate students with an interest in portfolio theory and researchers in the specified field. ..."
-MAA Reviews, July 2008

Shipping

	Standard Shipping	Express Shipping
Metro postcodes:	$9.99	$14.95
Regional postcodes:	$9.99	$14.95
Rural postcodes:	$9.99	$14.95

Orders over $89.00 qualify for free shipping.

How to return your order

At Booktopia, we offer hassle-free returns in accordance with our returns policy. If you wish to return an item, please get in touch with Booktopia Customer Care.

Additional postage charges may be applicable.