Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures write by Ritesh Kumar. This book was released on 2008. Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures available in PDF, EPUB and Kindle. This paper considers long-short portfolio optimization in the presence of two risk measures: variance and Conditional Value at Risk (CVaR) and asset choice constraints of (i) buy, sell and holding thresholds (ii) cardinality restrictions on the number of stocks to be held in the portfolio. The mean-variance-CVaR model improves upon the classical mean-variance model by controlling both the variance and CVaR of the resulting return distribution. Our long-short extension to the mean-variance-CVaR model incorporates many financial institutions' practices in respect of the short decisions. We highlight that introducing short selling leads to superior choice of portfolios, with higher expected return and much lower risk exposures, as characterized by CVaR and variance. We further analyze the effects of applying buy and sell thresholds and cardinality restrictions on the number of stocks. Such constraints are of practical importance but make the efficient frontier discontinuous. When stocks' returns are represented as discrete random variables, the formulation leads to a Quadratic Mixed Integer Program (QMIP). We conclude that the long-short model with cardinality constraint is superior to the long only model even without cardinality constraint. The models are tested on real data drawn from the FTSE 100 index.
Linear and Mixed Integer Programming for Portfolio Optimization
Linear and Mixed Integer Programming for Portfolio Optimization - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Linear and Mixed Integer Programming for Portfolio Optimization write by Renata Mansini. This book was released on 2015-06-10. Linear and Mixed Integer Programming for Portfolio Optimization available in PDF, EPUB and Kindle. This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Hedge Fund Investing
Hedge Fund Investing - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Hedge Fund Investing write by Kevin R. Mirabile. This book was released on 2015-12-21. Hedge Fund Investing available in PDF, EPUB and Kindle. A comprehensive guide to alternative investments and a valuable study companion for the CFA, CAIA, FRM and other professional examinations that include hedge fund investing The 2nd Edition offers new material related to portfolio financing, how funds are sold, liquid alternatives, and the challenges faced when trying to value hedge fund management companies. This edition includes updated power point slides, and a companion workbook with an updated set of end of chapter problems and a revised set of over 150 test bank questions. Hedge Fund Investing is a complete guide to alternative investments for students and professionals alike. Written to align with the CAIA curriculum, this book is much more than just an exam preparation resource—it's a fully comprehensive guide to hedge fund investing in today's market, designed to provide professionals with the deep understanding they need to operate effectively. Broad coverage under the alternative investment umbrella includes discussion about hedge funds, derivatives, investment banking, and commercial banking, with specific guidance toward trading, strategy, portfolio management, performance metrics, due diligence, and more. A full set of ancillary materials helps bring this book into the classroom, and provides rigorous reinforcement of the material presented in the text. Alternative investment expertise has become central to the asset management and institutional investment community. This book facilitates clear understanding of the intricacies of the field and guides you through the practical skills needed to successfully navigate this diverse set of asset classes. Recognize hedge fund trends, flows, and characteristics Examine major hedge fund strategies and how they interact Learn the technical side of financing, settlement, and clearance Measure fund performance and optimize contributing factors Hedge funds and other alternative investments are known for their high reward, but they also come with significant risk. The investment professional's role is to minimize these risks while maximizing reward, but the nuanced nature of these assets dramatically complicates the task. Hedge Fund Investing details every aspect to give you the deep and instinctual understanding you need to operate effectively within the alternative investment sphere.
Handbook of Alternative Data in Finance, Volume I
Handbook of Alternative Data in Finance, Volume I - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Handbook of Alternative Data in Finance, Volume I write by Gautam Mitra. This book was released on 2023-07-12. Handbook of Alternative Data in Finance, Volume I available in PDF, EPUB and Kindle. Handbook of Alternative Data in Finance, Volume I motivates and challenges the reader to explore and apply Alternative Data in finance. The book provides a robust and in-depth overview of Alternative Data, including its definition, characteristics, difference from conventional data, categories of Alternative Data, Alternative Data providers, and more. The book also offers a rigorous and detailed exploration of process, application and delivery that should be practically useful to researchers and practitioners alike. Features Includes cutting edge applications in machine learning, fintech, and more Suitable for professional quantitative analysts, and as a resource for postgraduates and researchers in financial mathematics Features chapters from many leading researchers and practitioners
INFORMS Annual Meeting
INFORMS Annual Meeting - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook INFORMS Annual Meeting write by Institute for Operations Research and the Management Sciences. National Meeting. This book was released on 2007. INFORMS Annual Meeting available in PDF, EPUB and Kindle.
