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Portfolio Optimization and Performance Analysis

Author: Jean-Luc Prigent

Publisher: CRC Press

Published: 2007-05-07

Total Pages: 451

ISBN-13: 142001093X

In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers a solid grounding in modern portfolio theory. The book presents both standard and novel results on the axiomatics of the individual choice in an uncertain framework, cont

Portfolio Theory and Performance Analysis

Author: Noel Amenc

Publisher: John Wiley & Sons

Published: 2005-01-21

Total Pages: 280

ISBN-13: 0470858753

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For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits

Performance Analysis and Optimization of Inbound Call Centers

Author: Raik Stolletz

Publisher: Springer Science & Business Media

Published: 2003-04-17

Total Pages: 236

ISBN-13: 9783540008125

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The focus of this book is on the management of inbound call centers. Based on technical performance measures this book develops economic performance measures for different classes of telephone service numbers. Both the numbers of agents and the number of offered phones lines are decision variables in the operational personnel planning process. Since call arrivals as well as call-handling times are random in inbound call centers, this book concentrates on performance analysis and optimization using queueing models. These models may differ with respect to several features, for example, the number of customer classes, the number of differently trained agent groups, the limitation of the waiting room, or the customer's impatience. This book describes mathematical methods and algorithms to relate these decision variables to technical as well as economic performance measures.

Portfolio Optimization and Performance Evaluation

Author: Hans Jørn Juhl

Publisher:

Published: 2014

Total Pages:

ISBN-13:

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Based on an exclusive business-to-business database comprising nearly 1,000 customers, the applicability of portfolio analysis is documented, and it is examined how such an optimization analysis can be used to explore the growth potential of a company. As opposed to any previous analyses, optimal customer portfolios are determined, and it is shown how marketing decision-makers can use this information in their marketing strategies to optimize the revenue growth of the company. Finally, our analysis is the first analysis which applies portfolio based methods to measure customer performance, and it is shown how these performance measures complement the optimization analysis.

Portfolio and Investment Analysis with SAS

Author: John B. Guerard

Publisher: SAS Institute

Published: 2019-04-03

Total Pages: 277

ISBN-13: 1635266890

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Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.

Portfolio Performance

Author: Abraham Mulugetta

Publisher:

Published: 2015

Total Pages: 14

ISBN-13:

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Optimization of a portfolio involves the efficient allocation of assets given a specific goal and its application to a portfolio will improve performance to some degree. Combining alpha calculation and analysis with optimization may enhance this improved portfolio performance. Thus, it can be assumed that portfolio rebalancing is worth the cost over time. This relationship may be explained by the significance of a security's alpha and the goals of an optimization scenario.

Portfolio Performance Evaluation

Author: George O. Aragon

Publisher: Now Publishers Inc

Published: 2008

Total Pages: 123

ISBN-13: 1601980825

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This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.

Investments: Portfolio theory and asset pricing

Author: Edwin J. Elton

Publisher: MIT Press

Published: 1999

Total Pages: 452

ISBN-13: 9780262050593

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This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz. Volume I presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency.

Robust Portfolio Optimization and Management

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

Published: 2007-04-27

Total Pages: 513

ISBN-13: 0470164891

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Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Robust Equity Portfolio Management, + Website

Author: Woo Chang Kim

Publisher: John Wiley & Sons

Published: 2015-12-14

Total Pages: 256

ISBN-13: 1118797264

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A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to allow readers of all levels to begin implementing robust models immediately, with detailed explanations and applications in the equity market included to help you grasp the real-world use of each technique. The discussion includes the most up-to-date thinking and cutting-edge methods, including a much-needed alternative to the traditional Markowitz mean-variance model. Unparalleled in depth and breadth, this book is an invaluable reference for all risk managers, portfolio managers, and analysts. Portfolio construction models originating from the standard Markowitz mean-variance model have a high input sensitivity that threatens optimization, spawning a flurry of research into new analytic techniques. This book covers the latest developments along with the basics, to give you a truly comprehensive understanding backed by a robust, practical skill set. Get up to speed on the latest developments in portfolio optimization Implement robust models using provided MATLAB code Learn advanced optimization methods with equity portfolio applications Understand the formulations, performances, and properties of robust portfolios The Markowitz mean-variance model remains the standard framework for portfolio optimization, but the interest in—and need for—an alternative is rapidly increasing. Resolving the sensitivity issue and dramatically reducing portfolio risk is a major focus of today's portfolio manager. Robust Equity Portfolio Management + Website provides a viable alternative framework, and the hard skills to implement any optimization method.