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Stochastic Optimization Models in Finance
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.
The Kelly Capital Growth Investment Criterion
This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth tha...
Worldwide Asset and Liability Modeling
The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
Handbook Of The Fundamentals Of Financial Decision Making (In 2 Parts)
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Manageme...
The World Scientific Handbook Of Futures Markets
The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics.
The Value of Supply Chain Visibility when Yield is Random
This book focuses on supply chains with uncertainty due to random yields. A common assumption in such systems is that the yields are observable only after all transportation or production steps are completed. The actual yield realization however happens earlier during the process. Technological advances and stronger supply chain collaboration make it possible to observe yield realization in real time and therefore close the time gap between the event and the observation. Within this thesis optimal and heuristic policies are developed that make use of this new type of information in various supply chain settings. These policies are used to identify conditions under which real time yield information is particularly beneficial. This book is relevant to both scholars and practitioners interested in managing supply chains with random yields.
Stochastic Optimization Methods in Finance and Energy
This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decis...
Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making
This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation. This material could be used with important books that cover these topics including MacLean-Ziemba's The Handbook of the Fundamentals of Financial Decision Making, and Ziemba-Vickson's Stochastic Optimization Models in Finance.
The Harriman House Book of Investing Rules
For the first time, the tactics, strategies and insightsrelied on by 150 of the world's most respected financialexperts are revealed in a concise, digestible form. Learnhow you really make money in the markets from: fundmanagers of billion-pound equity funds; traders in theoptions and futures markets; industry-rated analysts;economists ......
The Adventures Of A Modern Renaissance Academic In Investing And Gambling
This book tells the story of how financial markets have evolved over time and became increasingly more complex. The author, a successful and experienced trader, who among other things won the 2015 battle of the quants futures contest held in New York, shares how one can navigate today's dangerous financial markets and be successful. Readers at all levels will benefit from his analysis and many real life examples and experiences. The coverage is broad and there is considerable discussion on ways to stay out of trouble, protect oneself and grow one's assets. The author was the first one to do turn of the year January effect trades in the futures markets starting in the beginning of S&P 500 fut...
