E-Book Overview
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.
E-Book Content
CHAPMAN & HALL/CRC FINANCIAL MATHEMATICS SERIES
Portfolio Optimization and Performance Analysis
CHAPMAN & HALL/CRC Financial Mathematics Series Aims and scope: The field of financial mathematics forms an ever-expanding slice of the financial sector. This series aims to capture new developments and summarize what is known over the whole spectrum of this field. It will include a broad range of textbooks, reference works and handbooks that are meant to appeal to both academics and practitioners. The inclusion of numerical code and concrete real-world examples is highly encouraged.
Series Editors M.A.H. Dempster Centre for Financial Research Judge Business School University of Cambridge
Dilip B. Madan Robert H. Smith School of Business University of Maryland
Rama Cont Center for Financial Engineering Columbia University New York
Published Titles American-Style Derivatives; Valuation and Computation, Jerome Detemple Financial Modelling with Jump Processes, Rama Cont and Peter Tankov An Introduction to Credit Risk Modeling, Christian Bluhm, Ludger Overbeck, and Christoph Wagner Portfolio Optimization and Performance Analysis, Jean-Luc Prigent Robust Libor Modelling and Pricing of Derivative Products, John Schoenmakers Structured Credit Portfolio Analysis, Baskets & CDOs, Christian Bluhm and Ludger Overbeck
Proposals for the series should be submitted to one of the series editors above or directly to: CRC Press, Taylor and Francis Group 24-25 Blades Court Deodar Road London SW15 2NU UK
CHAPMAN & HALL/CRC FINANCIAL MATHEMATICS SERIES
Portfolio Optimization and Performance Analysis Jean-Luc Prigent
Boca Raton London New York
Chapman & Hall/CRC is an imprint of the Taylor & Francis Group, an informa business
Chapman & Hall/CRC Taylor & Francis Group 6000 Broken Sound Parkway NW, Suite 300 Boca Raton, FL 33487‑2742 © 2007 by Taylor & Francis Group, LLC Chapman & Hall/CRC is an imprint of Taylor & Francis Group, an Informa business No claim to original U.S. Government works Printed in the United States of America on acid‑free paper 10 9 8 7 6 5 4 3 2 1 International Standard Book Number‑10: 1‑58488‑578‑5 (Hardcover) International Standard Book Number‑13: 978‑1‑58488‑578