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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.

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

Data driven Modeling and Optimization Applications to Social Computing

Data driven Modeling and Optimization  Applications to Social Computing Book
Author : Chao Gao,Zhanwei Du,Lin Wang,Peican Zhu
Publisher : Frontiers Media SA
Release : 2022-09-14
ISBN : 2889769607
Language : En, Es, Fr & De

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Book Description :

Download Data driven Modeling and Optimization Applications to Social Computing book written by Chao Gao,Zhanwei Du,Lin Wang,Peican Zhu, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Financial Services Information Systems

Financial Services Information Systems Book
Author : Jessica Keyes
Publisher : CRC Press
Release : 2000-03-24
ISBN : 1135482535
Language : En, Es, Fr & De

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Book Description :

The calculus of IT support for the banking, securities, and insurance industries has changed dramatically and rapidly over the past few years. Consolidation and deregulation are creating opportunities and challenges never before seen. Unheard of just a few years ago, e-commerce has given birth to new infrastructures and departments needed to support them. And the Internet/Intranet/Extranet triple-whammy is the most critical component of most financial IT shops. At the same time, new intelligent agents stand ready to take on such diverse functions as customer profiling and data mining. Get a handle on all these new and newer ripples with Financial Services Information Systems. Here, in this exhaustive new guide and reference book, industry guru Jessica Keyes gives you the no-nonsense scoop on not just the tried and true IT tools of today, but also the up-and-coming "hot" technologies of tomorrow, and how to plan for them. Financial Services Information Systems addresses challenges and solutions associated with: supporting the self-service revolution by servicing kiosks and ATMs efficiently and economically, straight-through processing for the securities industry, outsourcing business communications in the insurance industry, distributed integration as a cost-effective alternative to data warehousing, and putting inbound fax automation to work in financial organizations.

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

Paris Princeton Lectures on Mathematical Finance 2002

Paris Princeton Lectures on Mathematical Finance 2002 Book
Author : Peter Bank,Fabrice Baudoin,Hans Föllmer,L. C. G. Rogers,Halil Mete Soner,Nizar Touzi
Publisher : Springer
Release : 2003-12-15
ISBN : 3540448594
Language : En, Es, Fr & De

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Book Description :

The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.

Stock Market Volatility

Stock Market Volatility Book
Author : Greg N. Gregoriou
Publisher : CRC Press
Release : 2009-04-08
ISBN : 9781420099553
Language : En, Es, Fr & De

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Book Description :

Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in developed, emerging, and frontier economies. The expert contributors cover stock market volatility modeling, portfolio management, hedge fund volatility, and volatility in developed countries and emerging markets. They present some of the vocational aspects, emphasizing the equity markets. The book approaches the material from the practitioner’s viewpoint and familiarizes readers with how volatility is linked to speculation, trading volume, and information arrival. It also discusses recent trends in forecasting volatility, along with the newly cultivated trading platform of volatility derivatives. Given the current state of high levels of volatility in global stock markets, money managers, financial institutions, investment banks, financial analysts, and others need to improve their understanding of volatility. Examining key aspects of stock market volatility, this comprehensive reference offers novel suggestions for accurately assessing the field.

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.

Continuous time Stochastic Control and Optimization with Financial Applications

Continuous time Stochastic Control and Optimization with Financial Applications Book
Author : Huyên Pham
Publisher : Springer Science & Business Media
Release : 2009-05-28
ISBN : 3540895000
Language : En, Es, Fr & De

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Book Description :

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

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.

Computational Intelligence Applications in Business Intelligence and Big Data Analytics

Computational Intelligence Applications in Business Intelligence and Big Data Analytics Book
Author : Vijayan Sugumaran,Arun Kumar Sangaiah,Arunkumar Thangavelu
Publisher : CRC Press
Release : 2017-06-26
ISBN : 1351720252
Language : En, Es, Fr & De

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Book Description :

There are a number of books on computational intelligence (CI), but they tend to cover a broad range of CI paradigms and algorithms rather than provide an in-depth exploration in learning and adaptive mechanisms. This book sets its focus on CI based architectures, modeling, case studies and applications in big data analytics, and business intelligence. The intended audiences of this book are scientists, professionals, researchers, and academicians who deal with the new challenges and advances in the specific areas mentioned above. Designers and developers of applications in these areas can learn from other experts and colleagues through this book.

Metaheuristic Approaches to Portfolio Optimization

Metaheuristic Approaches to Portfolio Optimization Book
Author : Ray, Jhuma,Mukherjee, Anirban,Dey, Sadhan Kumar,Klepac, Goran
Publisher : IGI Global
Release : 2019-06-22
ISBN : 1522581049
Language : En, Es, Fr & De

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Book Description :

Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns and minimizing risks within a given investment period for a variety of assets. Metaheuristic Approaches to Portfolio Optimization is an essential reference source that examines the proper selection of financial instruments in a financial portfolio management scenario in terms of metaheuristic approaches. It also explores common measures used for the evaluation of risks/returns of portfolios in real-life situations. Featuring research on topics such as closed-end funds, asset allocation, and risk-return paradigm, this book is ideally designed for investors, financial professionals, money managers, accountants, students, professionals, and researchers.

Market Microstructure in Emerging and Developed Markets

Market Microstructure in Emerging and Developed Markets Book
Author : Halil Kiymaz,H. Kent Baker
Publisher : John Wiley & Sons
Release : 2013-07-31
ISBN : 1118421485
Language : En, Es, Fr & De

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Book Description :

A comprehensive guide to the dynamic area of finance known as market microstructure Interest in market microstructure has grown dramatically in recent years due largely in part to the rapid transformation of the financial market environment by technology, regulation, and globalization. Looking at market transactions at the most granular level—and taking into account market structure, price discovery, information flows, transaction costs, and the trading process—market microstructure also forms the basis of high-frequency trading strategies that can help professional investors generate profits and/or execute optimal transactions. Part of the Robert W. Kolb Series in Finance, Market Microstructure skillfully puts this discipline in perspective and examines how the working processes of markets impact transaction costs, prices, quotes, volume, and trading behavior. Along the way, it offers valuable insights on how specific features of the trading process like the existence of intermediaries or the environment in which trading takes place affect the price formation process. Explore issues including market structure and design, transaction costs, information flows, and disclosure Addresses market microstructure in emerging markets Covers the legal and regulatory issues impacting this area of finance Contains contributions from both experienced financial professionals and respected academics in this field If you're looking to gain a firm understanding of market microstructure, this book is the best place to start.

Portfolio Analytics

Portfolio Analytics Book
Author : Wolfgang Marty
Publisher : Springer
Release : 2015-10-08
ISBN : 3319198122
Language : En, Es, Fr & De

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Book Description :

This textbook first introduces the reader to return measurement and then goes on to compare the time-weighted rate of return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return, different tracking errors are analyzed and ex-post versus ex-ante risk figures are compared. The author then proceeds to modern portfolio theory (MPT) and illustrates how the constraints interfere substantially in the construction of optimized portfolios. As a conclusion, the book provides the reader with all the essential aspects of investment controlling.

Data Mining and Knowledge Management

Data Mining and Knowledge Management Book
Author : Yong Shi,Weixuan Xu,Zhengxin Chen
Publisher : Springer Science & Business Media
Release : 2005-01-31
ISBN : 3540239871
Language : En, Es, Fr & De

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Book Description :

criteria linear and nonlinear programming has proven to be a very useful approach. • Knowledge management for enterprise: These papers address various issues related to the application of knowledge management in corporations using various techniques. A particular emphasis here is on coordination and cooperation. • Risk management: Better knowledge management also requires more advanced techniques for risk management, to identify, control, and minimize the impact of uncertain events, as shown in these papers, using fuzzy set theory and other approaches for better risk management. • Integration of data mining and knowledge management: As indicated earlier, the integration of these two research fields is still in the early stage. Nevertheless, as shown in the papers selected in this volume, researchers have endearored to integrate data mining methods such as neural networks with various aspects related to knowledge management, such as decision support systems and expert systems, for better knowledge management. September 2004 Yong Shi Weixuan Xu Zhengxin Chen CASDMKM 2004 Organization Hosted by Institute of Policy and Management at the Chinese Academy of Sciences Graduate School of the Chinese Academy of Sciences International Journal of Information Technology and Decision Making Sponsored by Chinese Academy of Sciences National Natural Science Foundation of China University of Nebraska at Omaha, USA Conference Chairs Weixuan Xu, Chinese Academy of Sciences, China Yong Shi, University of Nebraska at Omaha, USA Advisory Committee

The Internationalization of Equity Markets

The Internationalization of Equity Markets Book
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
Release : 2008-04-15
ISBN : 0226260216
Language : En, Es, Fr & De

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Book Description :

This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Artificial Intelligence in Financial Markets

Artificial Intelligence in Financial Markets Book
Author : Christian L. Dunis,Peter W. Middleton,Andreas Karathanasopolous,Konstantinos Theofilatos
Publisher : Springer
Release : 2016-11-21
ISBN : 1137488808
Language : En, Es, Fr & De

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Book Description :

As technology advancement has increased, so to have computational applications for forecasting, modelling and trading financial markets and information, and practitioners are finding ever more complex solutions to financial challenges. Neural networking is a highly effective, trainable algorithmic approach which emulates certain aspects of human brain functions, and is used extensively in financial forecasting allowing for quick investment decision making. This book presents the most cutting-edge artificial intelligence (AI)/neural networking applications for markets, assets and other areas of finance. Split into four sections, the book first explores time series analysis for forecasting and trading across a range of assets, including derivatives, exchange traded funds, debt and equity instruments. This section will focus on pattern recognition, market timing models, forecasting and trading of financial time series. Section II provides insights into macro and microeconomics and how AI techniques could be used to better understand and predict economic variables. Section III focuses on corporate finance and credit analysis providing an insight into corporate structures and credit, and establishing a relationship between financial statement analysis and the influence of various financial scenarios. Section IV focuses on portfolio management, exploring applications for portfolio theory, asset allocation and optimization. This book also provides some of the latest research in the field of artificial intelligence and finance, and provides in-depth analysis and highly applicable tools and techniques for practitioners and researchers in this field.

Essays on Business and Information II

Essays on Business and Information II Book
Author : Scott M. Shemwell
Publisher : Xlibris Corporation
Release : 2011-03-28
ISBN : 1456883771
Language : En, Es, Fr & De

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Book Description :

Download Essays on Business and Information II book written by Scott M. Shemwell, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.