Robust Portfolio Optimization and Management

摘要: Preface. About the Authors. CHAPTER 1. Introduction. Quantitative Techniques in Investment Management Industry. Central Themes of This Book. Overview PART ONE. Portfolio Allocation: Classical Theory and Extensions. 2. Mean-Variance Analysis Modern Theory. The Benefits Diversification. Analysis: Overview. Framework for Optimization. Capital Market Line. Selection Optimal When There Is a Risk-Free Asset. More on Utility Functions: A General Choice. Summary. 3. Advances Risk Measures. Dispersion Downside with Higher Moments through Expansions Utility. Polynomial Goal Programming Optimization Moments. Some Remarks Estimation Approach Malevergne Sornette. 4. Practice. Constraints Commonly Used Incorporating Transaction Costs Asset-Allocation Models. Multiaccount TWO. Robust Parameter Estimation. 5. Asset Pricing. Definitions. Theoretical Econometric Random Walk Equilibrium Theories. Pricing Model (CAPM). Arbitrage (APT). 6. Forecasting Expected Return Risk. Dividend Discount Residual Income Valuation Sample Mean Covariance Estimators. Matrices. Factor Models Other Approaches to Volatility Application Strategies Proprietary Trading. 7. Intuition behind Statistics. Estimators Regressions. Confidence Intervals. 8. Frameworks Estimation: Shrinkage, Bayesian Approaches, Black-Litterman Model. Practical Problems Encountered Shrinkage Approaches. THREE. Techniques. 9. Mathematical Numerical Programming. Necessary Conditions Optimality Continuous Problems. Duality How Do Algorithms Work? 10. under Uncertainty. Stochastic Dynamic 11. Implementing Solving Software. Considerations Using Implementation Examples. Specialized Software Under FOUR. 12. Modeling Uncertain Parameters Resampling Allocation. Allocation 13. Practice Management: Recent Trends New Directions. Issues Rebalancing. Understanding Costs. Rebalancing an Optimizer. 14. Today Tomorrow. Derivatives Management. Currency Benchmarks. Return-Forecasting Model-Based Trading Strategies. Trade Execution Algorithmic APPENDIX A. Data Description: MSCI World Index. INDEX.