Portfolio optimization and performance analysis. (©2007)

• Record Type: Book
• Further Information: Note: Jean-Luc Prigent.
• Other Names: Prigent, Jean-Luc, 1958-
• Contents: UTILITY AND RISK ANALYSISUtility TheoryPreferences under uncertaintyExpected utilityRisk aversionStochastic dominanceAlternative expected utility theoryRisk MeasuresCoherent and convex risk measuresStandard risk measuresSTANDARD PORTFOLIO OPTIMIZATIONStatic OptimizationMean-variance analysisAlternative criteriaFurther readingIndexed Funds and BenchmarkingIndexed fundsBenchmark portfolio optimizationFurther readingPortfolio PerformanceStandard performance measuresPerformance decompositionFurther readingDYNAMIC PORTFOLIO OPTIMIZATIONDynamic Programming OptimizationControl theoryLifetime portfolio selectionFurther readingOptimal Payoff Profiles and Long-Term ManagementOptimal payoffs as functions of a benchmarkApplication to long-term managementFurther readingOptimization within Specific MarketsOptimization in incomplete marketsOptimization with constraintsOptimization with transaction costsOther frameworksFurther readingSTRUCTURED PORTFOLIO MANAGEMENTPortfolio InsuranceThe option-based portfolio insuranceThe constant proportion portfolio insuranceComparison between OBPI and CPPIFurther readingOptimal Dynamic Portfolio with Risk LimitsOptimal insured portfolio: discrete-time caseOptimal insured portfolio: the dynamically complete caseValue-at-risk and expected shortfall-based managementFurther readingHedge FundsThe hedge funds industryHedge funds performanceOptimal allocation in hedge fundsFurther readingReferences.
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2007
• Copyright Date: 2007
• Extent: 1 online resource (xvi, 434 pages), illustrations
• Subjects: 332.6; Portfolio management; Investment analysis; Hedge funds; Gestion de portefeuille; Analyse financière; Fonds spéculatifs; BUSINESS & ECONOMICS -- Investments & Securities -- General; Hedge funds; Investment analysis; Portfolio management; Hedge Fund; Investitionsanalyse; Portfoliomanagement; Electronic books
• Languages: English
• ISBNs: 9781420010930
• Related ISBNs: 142001093X; 9781584885788; 1584885785
• Notes: Note: Includes bibliographical references (pages 397-430) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.