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Portfolio Optimization With Different Information Flow

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Portfolio Optimization with Different Information Flow

Portfolio Optimization with Different Information Flow Book
Author : Caroline Hillairet,Ying Jiao
Publisher : Elsevier
Release : 2017-02-10
ISBN : 0081011776
Language : En, Es, Fr & De

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Book Description :

Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtration theory.The authors apply the theory of the enlargement of filtrations and solve the optimization problem. Two main types of enlargement of filtration are discussed: initial and progressive, using tools from various fields, such as from stochastic calculus and convex analysis, optimal stochastic control and backward stochastic differential equations. This theoretical and numerical analysis is applied in different market settings to provide a good basis for the understanding of portfolio optimization with different information flow. Presents recent progress of stochastic portfolio optimization with exotic filtrations Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations

Enlargement of Filtration with Finance in View

Enlargement of Filtration with Finance in View Book
Author : Anna Aksamit,Monique Jeanblanc
Publisher : Springer
Release : 2017-11-18
ISBN : 3319412558
Language : En, Es, Fr & De

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Book Description :

This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many examples and applications to finance, in particular to credit risk modelling and the study of asymmetric information, are provided to illustrate the theory. A detailed summary of further connections and applications is given in bibliographic notes which enables to deepen study of the topic. This book fills a gap in the literature and serves as a guide for graduate students and researchers interested in the role of information in financial mathematics and in econometric science. A basic knowledge of the general theory of stochastic processes is assumed as a prerequisite.

Arbitrage Credit and Informational Risks

Arbitrage  Credit and Informational Risks Book
Author : Caroline Hillairet,Monique Jeanblanc,Ying Jiao
Publisher : World Scientific
Release : 2014-03-18
ISBN : 9814602086
Language : En, Es, Fr & De

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Book Description :

This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:Arbitrage:No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)On the Existence of Martingale Measures in Jump Diffusion Market Models (Jacopo Mancin and Wolfgang J Runggaldier)Arbitrages in a Progressive Enlargement Setting (Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc)Credit Risk:Pricing Credit Derivatives with a Structural Default Model (Sébastien Hitier and Ying Zhu)Reduced-Form Modeling of Counterparty Risk on Credit Derivatives (Stéphane Crépey)Dynamic One-default Model (Shiqi Song)Stochastic Sensitivity Study for Optimal Credit Allocation (Laurence Carassus and Simone Scotti)Control Problem and Information Risks:Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs (Ivan Guo and Marek Rutkowski)A Note on BSDEs with Singular Driver Coefficients (Monique Jeanblanc and Anthony Réveillac)A Portfolio Optimization Problem with Two Prices Generated by Two Information Flows (Caroline Hillairet)Option Pricing under Stochastic Volatility, Jumps and Cost of Information (Sana Mahfoudh and Monique Pontier) Readership: Advanced undergraduates, graduates and researchers in financial mathematics. Key Features:Treats new problems and challenges issued from the recent financial crisis and proposes original research papers on the modeling and management of the related financial risks, notably the credit risk and information asymmetry risksThe contributors consist of worldwide renowned experts and also promising young scientists in financial mathematicsAccessible to a larger public including graduate and advanced undergraduate studentsKeywords:Arbitrage;Credit Risk;Information Asymmetry Risks

Integration of Information Flow for Greening Supply Chain Management

Integration of Information Flow for Greening Supply Chain Management Book
Author : Adam Kolinski,Davor Dujak,Paulina Golinska-Dawson
Publisher : Springer Nature
Release : 2019-08-21
ISBN : 3030243559
Language : En, Es, Fr & De

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Book Description :

This book provides a framework for integrating information management in supply chains. Current trends in business practice have made it necessary to explore the potential held by information integration with regard to environmental aspects. Information flow integration provides an opportunity to focus on the creation of a more “green” supply chain. However, it is currently difficult to identify the impact of information integration on greening a supply chain in a wide range of practical applications. Accordingly, this book focuses on the potential value of information integration solutions in terms of greening supply chain management. It covers the following major topics: Application of information flow standards in the supply chain Information systems and technological solutions for integrating information flows in supply chains The Internet of Things and the industry 4.0 concept, with regard to the integration of supply chains Modeling and simulation of logistics processes Decision-making tools enabling the greening of supply chains

IT Information Technology Portfolio Management Step by Step

IT  Information Technology  Portfolio Management Step by Step Book
Author : Bryan Maizlish,Robert Handler
Publisher : John Wiley & Sons
Release : 2010-10-07
ISBN : 1118005058
Language : En, Es, Fr & De

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Book Description :

Praise for IT Portfolio Management Step-by-Step "Bryan Maizlish and Robert Handler bring their deep experience in IT 'value realization' to one of the most absent of all IT management practices--portfolio management. They capture the essence of universally proven investment practices and apply them to the most difficult of challenges--returning high strategic and dollar payoffs from an enterprise's IT department. The reader will find many new and rewarding insights to making their IT investments finally return market leading results." --John C. Reece, Chairman and CEO, John C. Reece & Associates, LLC Former deputy commissioner for modernization and CIO of the IRS "IT Portfolio Management describes in great detail the critical aspects, know-how, practical examples, key insights, and best practices to improve operational efficiency, corporate agility, and business competitiveness. It eloquently illustrates the methods of building and integrating a portfolio of IT investments to ensure the realization of maximum value and benefit, and to fully leverage the value of all IT assets. Whether you are getting started or building on your initial success in IT portfolio management, this book will provide you information on how to build and implement an effective IT portfolio management strategy." --David Mitchell, President and CEO, webMethods, Inc. "I found IT Portfolio Management very easy to read, and it highlights many of the seminal aspects and best practices from financial portfolio management. It is an important book for executive, business, and IT managers." --Michael J. Montgomery, President, Montgomery & Co. "IT Portfolio Management details a comprehensive framework and process showing how to align business and IT for superior value. Maizlish and Handler have the depth of experience, knowledge, and insight needed to tackle the challenges and opportunities companies face in optimizing their IT investment portfolios. This is an exceptionally important book for executive leadership and IT business managers, especially those wanting to build a process-managed enterprise." --Peter Fingar, Executive Partner Greystone Group, coauthor of The Real-Time Enterprise and Business Process Management (BPM): The Third Wave "A must-read for the non-IT manager who needs to understand the complexity and challenges of managing an IT portfolio. The portfolio management techniques, analysis tools, and planning can be applied to any project or function." --Richard "Max" Maksimoski, Senior Director R&D, The Scotts Company "This book provides an excellent framework and real-world based approach for implementing IT portfolio management. It is a must-read for every CIO staff considering how to strategically and operationally impact their company's bottom line." --Donavan R. Hardenbrook, New Product Development Professional, Intel Corporation

Portfolio Management

Portfolio Management Book
Author : Shan Rajegopal
Publisher : Palgrave Macmillan
Release : 2012-11-29
ISBN : 1137023333
Language : En, Es, Fr & De

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Book Description :

Technology is accelerating the speed of change, increasing competition in the marketplace and forcing business leaders to be agile and innovative in order to stay ahead of competitors. Where some companies are falling by the wayside, others are excelling in decision-making and execution. What makes the difference? Businesses that are good at managing change have an end-to-end approach in thinking about innovation, investment and implementation. Right at the outset they think about how to establish a culture of innovation, how to align innovation and investment decision-making, how to prioritise resources to the right areas and how to streamline the myriad of decision-making processes to manage implementation and measure results to drive continuous improvement. In Portfolio Management, Shan Rajegopal, a leading authority on innovation and project portfolio management, sets out in a clear, simple style the key factors you need to address to ensure the good innovative ideas bubble to the top, that you make better investment decisions and can manage implementation with less wasted resources and time. Using a tried-and-tested, integrated, project portfolio management framework that aligns innovation, investment and implementation, this book is an essential blueprint for business executives who are seeking big returns from their innovation investments!

Evolutionary Multi Criterion Optimization

Evolutionary Multi Criterion Optimization Book
Author : Carlos M. Fonseca,Peter J. Fleming,Eckart Zitzler,Kalyanmoy Deb,Lothar Thiele
Publisher : Springer
Release : 2003-08-03
ISBN : 3540369708
Language : En, Es, Fr & De

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Book Description :

This book constitutes the refereed proceedings of the Second International Conference on Evolutionary Multi-Criterion Optimization, EMO 2003, held in Faro, Portugal, in April 2003. The 56 revised full papers presented were carefully reviewed and selected from a total of 100 submissions. The papers are organized in topical sections on objective handling and problem decomposition, algorithm improvements, online adaptation, problem construction, performance analysis and comparison, alternative methods, implementation, and applications.

Handbook of Statistical Analysis and Data Mining Applications

Handbook of Statistical Analysis and Data Mining Applications Book
Author : Robert Nisbet,Gary Miner,Ken Yale
Publisher : Elsevier
Release : 2017-11-09
ISBN : 0124166458
Language : En, Es, Fr & De

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Book Description :

Handbook of Statistical Analysis and Data Mining Applications, Second Edition, is a comprehensive professional reference book that guides business analysts, scientists, engineers and researchers, both academic and industrial, through all stages of data analysis, model building and implementation. The handbook helps users discern technical and business problems, understand the strengths and weaknesses of modern data mining algorithms and employ the right statistical methods for practical application. This book is an ideal reference for users who want to address massive and complex datasets with novel statistical approaches and be able to objectively evaluate analyses and solutions. It has clear, intuitive explanations of the principles and tools for solving problems using modern analytic techniques and discusses their application to real problems in ways accessible and beneficial to practitioners across several areas—from science and engineering, to medicine, academia and commerce. Includes input by practitioners for practitioners Includes tutorials in numerous fields of study that provide step-by-step instruction on how to use supplied tools to build models Contains practical advice from successful real-world implementations Brings together, in a single resource, all the information a beginner needs to understand the tools and issues in data mining to build successful data mining solutions Features clear, intuitive explanations of novel analytical tools and techniques, and their practical applications

Bond Portfolio Optimization

Bond Portfolio Optimization Book
Author : Michael Puhle
Publisher : Springer Science & Business Media
Release : 2008-01-08
ISBN : 9783540765936
Language : En, Es, Fr & De

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Book Description :

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.

Portfolio Management

Portfolio Management Book
Author : Ginger Levin, PMP, PgMP,John Wyzalek, PfMP
Publisher : CRC Press
Release : 2014-10-15
ISBN : 1482251043
Language : En, Es, Fr & De

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Book Description :

Recognizing the importance of selecting and pursuing programs, projects, and operational work that add sustainable business value that benefits end users, the Project Management Institute (PMI®) issued its first Standard on Portfolio Management in 2006. In 2014, it launched the Portfolio Management Professional (PfMP®) credential—which several of the experts who contributed to this book earned—to recognize the advanced expertise required of practitioners in the field. Presenting information that is current with The Standard for Portfolio Management, Third Edition (2013); Portfolio Management: A Strategic Approach supplies in-depth treatment of the five domains and identifies best practices to ensure the organization has a balanced portfolio management that is critical to success. Following PMI’s standard, the book is organized according to its five domains: strategic alignment, governance, portfolio performance management, portfolio risk management, and portfolio communications management. Each chapter presents the insight of different thought leaders in academia and business. Contributors from around the world, including the Americas, Europe, the Middle East, Africa, and Australia, supply a global perspective as to why portfolio management is essential for all types of organizations. They provide guidelines, examples, and models to consider, along with discussion and analysis of relevant literature in the field. Most chapters reference PMI standards, complement their concepts, and expand on the concepts and issues that the standards mention in passing or not at all. Overall, this is a must-have resource for anyone pursuing the PfMP® credential from PMI. For executives and practitioners in the field, it provides the concepts you will need to address the ever-changing complexities that impact your work. This book is also suitable as a textbook for universities offering courses on portfolio management.

Supply Chain Disruption Management Using Stochastic Mixed Integer Programming

Supply Chain Disruption Management Using Stochastic Mixed Integer Programming Book
Author : Tadeusz Sawik
Publisher : Springer
Release : 2017-06-30
ISBN : 3319588230
Language : En, Es, Fr & De

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Book Description :

This book deals with stochastic combinatorial optimization problems in supply chain disruption management, with a particular focus on management of disrupted flows in customer-driven supply chains. The problems are modeled using a scenario based stochastic mixed integer programming to address risk-neutral, risk-averse and mean-risk decision-making in the presence of supply chain disruption risks. The book focuses on innovative, computationally efficient portfolio approaches to supply chain disruption management, e.g., selection of primary and recovery supply portfolios, demand portfolios, capacity portfolios, etc. Numerous computational examples throughout the book, modeled in part on real-world supply chain disruption management problems, illustrate the material presented and provide managerial insights. In the computational examples, the proposed mathematical programming models are solved using an advanced algebraic modeling language such as AMPL and CPLEX, GUROBI and XPRESS solvers. The knowledge and tools provided in the book allow the reader to model and solve supply chain disruption management problems using commercially available software for mixed integer programming. Using the end-of chapter problems and exercises, the monograph can also be used as a textbook for an advanced course in supply chain risk management. After an introductory chapter, the book is then divided into five main parts. Part I addresses selection of a supply portfolio; Part II considers integrated selection of supply portfolio and scheduling; Part III looks at integrated, equitably efficient selection of supply portfolio and scheduling; Part IV examines integrated selection of primary and recovery supply (and demand) portfolios and scheduling; and Part V addresses disruption management of information flows in supply chains.

Methods and Applications in Reservoir Geophysics

Methods and Applications in Reservoir Geophysics Book
Author : Michael R. Cooper
Publisher : SEG Books
Release : 2010
ISBN : 1560802162
Language : En, Es, Fr & De

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Book Description :

Download Methods and Applications in Reservoir Geophysics book written by Michael R. Cooper, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

CFA Program Curriculum 2017 Level III

CFA Program Curriculum 2017 Level III Book
Author : CFA Institute
Publisher : John Wiley & Sons
Release : 2016-08-01
ISBN : 1119315964
Language : En, Es, Fr & De

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Book Description :

Apply CFA Program concepts and skills to real-world wealth and portfolio management for the 2017 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2017 Level III, Volumes 1-6 provides complete, authoritative guidance on synthesizing the entire CFA Program Candidate Body of Knowledge (CBOK) into professional practice for the 2017 exam. This book helps you bring together the skills and concepts from Levels I and II to formulate a detailed, professional response to a variety of real-world scenarios. Coverage spans all CFA Program topics and provides a rigorous treatment of portfolio management, all organized into individual study sessions with clearly defined Learning Outcome Statements. Visual aids clarify complex concepts, and practice questions allow you to test your understanding while reinforcing major content areas. Levels I and II equipped you with foundational investment tools and complex analysis skill; now, you'll learn how to effectively synthesize that knowledge to facilitate effective portfolio management and wealth planning. This study set helps you convert your understanding into a professional body of knowledge that will benefit your clients' financial futures. Master essential portfolio management and compliance topics Synthesize your understanding into professional guidance Reinforce your grasp of complex analysis and valuation Apply ethical and professional standards in the context of real-world cases CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.

Neural Networks and the Financial Markets

Neural Networks and the Financial Markets Book
Author : Jimmy Shadbolt
Publisher : Springer Science & Business Media
Release : 2012-12-06
ISBN : 1447101510
Language : En, Es, Fr & De

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Book Description :

This volume looks at financial prediction from a broad range of perspectives. It covers: - the economic arguments - the practicalities of the markets - how predictions are used - how predictions are made - how predictions are turned into something usable (asset locations) It combines a discussion of standard theory with state-of-the-art material on a wide range of information processing techniques as applied to cutting-edge financial problems. All the techniques are demonstrated with real examples using actual market data, and show that it is possible to extract information from very noisy, sparse data sets. Aimed primarily at researchers in financial prediction, time series analysis and information processing, this book will also be of interest to quantitative fund managers and other professionals involved in financial prediction.

Project Governance

Project Governance Book
Author : Ralf Muller
Publisher : Routledge
Release : 2017-05-15
ISBN : 1351908502
Language : En, Es, Fr & De

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Book Description :

Without a governance structure, an organization runs the risk of conflicts and inconsistencies between the various means of achieving organizational goals, the processes and resources, causing costly inefficiencies that impact negatively on both smooth running and bottom line profitability. However, the frequency of projects failing to meet these corporate objectives has focused attention firmly on the process of project governance. In this book, Ralf Müller provides a well-researched framework to explain the different preferences organizations have in goal setting, along with the best-practices, roles and responsibilities related to governance tasks. This concise text is an important guide for project and programme managers, those managers concerned with corporate governance such as risk managers and internal auditors, project sponsors and project board members, as well as academics researching organizational and project performance. Project Governance is part of the Gower Fundamentals of Project Management Series. Practising professionals and project students will find in the fundamentals a definitive, shorthand guide to each of the main competencies associated with project management; a book that is authoritative, based on current research but immediately relevant and applicable.

Product Focused Software Process Improvement

Product Focused Software Process Improvement Book
Author : Maurizio Morisio,Marco Torchiano,Andreas Jedlitschka
Publisher : Springer Nature
Release : 2020-11-20
ISBN : 3030641481
Language : En, Es, Fr & De

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Book Description :

This book constitutes the refereed proceedings of the 21st International Conference on Product-Focused Software Process Improvement, PROFES 2020, held in Turin, Italy, in November 2020. Due to COVID-19 pandemic the conference was held virtually. The 19 revised full papers and 3 short papers presented were carefully reviewed and selected from 68 submissions. The papers cover a broad range of topics related to professional software development and process improvement driven by product and service quality needs. They are organized in topical sections on Agile Software Development.

Fixed Income Analysis

Fixed Income Analysis Book
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Release : 2007-03-15
ISBN : 9780470107843
Language : En, Es, Fr & De

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Book Description :

Download Fixed Income Analysis book written by Frank J. Fabozzi, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Strategic Information Technology and Portfolio Management

Strategic Information Technology and Portfolio Management Book
Author : Tan, Albert Wee Kwan,Theodorou, Petros
Publisher : IGI Global
Release : 2009-03-31
ISBN : 159904689X
Language : En, Es, Fr & De

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Book Description :

"The objectives of the proposed book are to provide techniques and tools appropriate for building application portfolios and develop strategies that increase financial performance"--Provided by publisher.

Mathematical Reviews

Mathematical Reviews Book
Author : Anonim
Publisher : Unknown
Release : 2004
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Mathematical Reviews book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA

Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA Book
Author : Antonio Daniel Silva,Rui Ferreira Neves,Nuno Horta
Publisher : Springer
Release : 2016-02-11
ISBN : 3319293923
Language : En, Es, Fr & De

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Book Description :

This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage