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The final section applies theoretical results to practical portfolio optimization, including structured portfolio management.

It details portfolio insurance methods as well as performance measures for alternative investments, such as hedge funds. Taking into account the different features of portfolio management theory, this book promotes a thorough understanding for students and professionals in the field. Page Page de titre. Risk measures. Standard portfolio optimization.

Bibliography - Financial Modelling - Wiley Online Library

Static optimization. Indexed funds and benchmarking. Portfolio performance. Dynamic portfolio optimization.

Stanford Libraries

Dynamic programming optimization. Structured portfolio management. Portfolio insurance.


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Optimal dynamic portfolio with risk limits. Appendix A Arch Models. Appendix B Stochastic Processes.

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Symbol Description. Optimal payoff profiles and longterm management.

Quant Finance with R Part 2: Portfolio Analysis

Optimization within specific markets. Droits d'auteur. About these matters there is no scientific basis on which to form any calculable probability whatever. We simply do not know. Page 1 - About these matters there is no scientific basis on which to form any calculable probability whatever.

Linear Programming Models based on Omega Ratio for the Enhanced Index Tracking Problem

Nevertheless, the necessity for action and for decision compels us as practical men to do our best to overlook this awkward fact and to behave exactly as we should if we had behind us a good Benthamite calculation of a series of prospective advantages and disadvantages, each multiplied by its appropriate probability, waiting to be summed.

Designed for specifically for quantitative finance students, this subject provides a rigorous understanding of portfolio management using quantitative tools. The subject presents advanced techniques and applications in quantitative investment including portfolio construction, portfolio implementation, factor models and performance measurement.

The subject also considers implementation issues on portfolio construction, backtesting and statistical estimation.

Portfolio Optimization and Performance Analysis

The subject combines rigorous treatment of the theoretical concepts with extensive practical problems in quantitative portfolio analysis. This subject also contributes specifically to the development of following course intended learning outcomes:. The aim of this course is to provide students with a solid grounding in modern portfolio theory and its extensions.


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The subject will provide a detailed exposition of modern portfolio theory covering standard portfolio optimization, asset pricing models, quantitative portfolio management models for portfolio construction and the theory and application of standard performance measures. The subject will show how theoretical results can be applied to practical and operational portfolio construction and optimization providing students with the tool box required for a working knowledge of quantitative portfolio management. This subject also contributes specifically to develop the following Program Learning Objectives for the Master of Quantitative Finance:.

The subject is presented in seminar and workshop format. The theoretical concepts are presented in lectures and students will be required to work through practical exercises in a computer lab.

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Consistent with Learning Futures, the subjects will enable students to experience an effective integration of online and face-to-face on campus learning. Mean-variance analysis and portfolio optimization in practice Asset pricing models and factor models Quantitative equity portfolio management strategies Factors and factor choice : economic vs fundamental factors Implementing asset allocation strategies : ; active, passive and semi-active portfolio strategies Portfolio performance evaluation and attribution analysis Portfolio Insurance Alternative investment and hedge fund strategies.

Assessment task 1: Assignment 1 Individual Objective s : This assessment task addresses subject learning objective s :. Elton, E. J, Gruber, M. J, and W. John Wiley and Sons, 8th edition, Prigent, J. Bodie, Z. John Wiley and Sons, Hoboken. Frank J. Fabozzi, Sergio M.