ABSTRACT

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, cont

chapter |4 pages

I Utility and risk analysis

chapter 1|32 pages

Utility theory

chapter 2|28 pages

Risk measures

part |2 pages

Part II: Standard portfolio optimization

chapter 3|36 pages

Static optimization

chapter 4|26 pages

Indexed funds and benchmarking

chapter 5|36 pages

Portfolio performance

chapter |4 pages

III Dynamic portfolio optimization

chapter 6|38 pages

Dynamic programming optimization

chapter 8|50 pages

Optimization within specific markets

part |2 pages

IV Structured portfolio management

chapter 9|38 pages

Portfolio insurance

chapter 10|32 pages

Optimal dynamic portfolio with risk limits

chapter 11|22 pages

Hedge funds

chapter |8 pages

A Appendix A: Arch Models

chapter |16 pages

B Appendix B: Stochastic Processes

chapter |34 pages

References

chapter |2 pages

Symbol Description