Portfolio Optimization and Performance Analysis

ISBN: 9781584885788 出版年：2007 页码：451 Prigent, Jean-Luc CRC Press

UTILITY AND RISK ANALYSIS Utility Theory Preferences under uncertainty Expected utility Risk aversion Stochastic dominance Alternative expected utility theory Risk Measures Coherent and convex risk measures Standard risk measures STANDARD PORTFOLIO OPTIMIZATION Static Optimization Mean-variance analysis Alternative criteria Further reading Indexed Funds and Benchmarking Indexed funds Benchmark portfolio optimization Further reading Portfolio Performance Standard performance measures Performance decomposition Further reading DYNAMIC PORTFOLIO OPTIMIZATION Dynamic Programming Optimization Control theory Lifetime portfolio selection Further reading Optimal Payoff Profiles and Long-Term Management Optimal payoffs as functions of a benchmark Application to long-term management Further reading Optimization within Specific Markets Optimization in incomplete markets Optimization with constraints Optimization with transaction costs Other frameworks Further reading STRUCTURED PORTFOLIO MANAGEMENT Portfolio Insurance The option-based portfolio insurance The constant proportion portfolio insurance Comparison between OBPI and CPPI Further reading Optimal Dynamic Portfolio with Risk Limits Optimal insured portfolio: discrete-time case Optimal insured portfolio: the dynamically complete case Value-at-risk and expected shortfall-based management Further reading Hedge Funds The hedge funds industry Hedge funds performance Optimal allocation in hedge funds Further reading References