Portfolio Optimization and Performance Analysis

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Overview

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, contains a precise overview of standard portfolio optimization, provides a review of the main results for static and dynamic cases, and shows how theoretical results can be applied to practical and operational portfolio optimization.

Divided into four sections that mirror the book's aims, this resource first describes the fundamental results of decision theory, including utility maximization and risk measure minimization. Covering both active and passive portfolio management, the second part discusses standard portfolio optimization and performance measures. The book subsequently introduces dynamic portfolio optimization based on stochastic control and martingale theory. It also outlines portfolio optimization with market frictions, such as incompleteness, transaction costs, labor income, and random time horizon. 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.

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Product Details

Table of Contents

UTILITY AND RISK ANALYSIS
Utility Theory
Preferences under uncertainty
Expected utility
Risk aversion
Stochastic dominance
Alternative expected utility theory

Risk Measures
Coherent and convex risk measures
Standard risk measures

STANDARD PORTFOLIO OPTIMIZATION
Static Optimization
Mean-variance analysis
Alternative criteria
Further reading

Indexed Funds and Benchmarking
Indexed funds
Benchmark portfolio optimization
Further reading

Portfolio Performance
Standard performance measures
Performance decomposition
Further reading

DYNAMIC PORTFOLIO OPTIMIZATION
Dynamic Programming Optimization
Control theory
Lifetime portfolio selection
Further reading

Optimal Payoff Profiles and Long-Term Management
Optimal payoffs as functions of a benchmark
Application to long-term management
Further reading

Optimization within Specific Markets
Optimization in incomplete markets
Optimization with constraints
Optimization with transaction costs
Other frameworks
Further reading

STRUCTURED PORTFOLIO MANAGEMENT
Portfolio Insurance
The option-based portfolio insurance
The constant proportion portfolio insurance
Comparison between OBPI and CPPI
Further reading

Optimal Dynamic Portfolio with Risk Limits
Optimal insured portfolio: discrete-time case
Optimal insured portfolio: the dynamically complete case
Value-at-risk and expected shortfall-based management
Further reading

Hedge Funds
The hedge funds industry
Hedge funds performance
Optimal allocation in hedge funds
Further reading

References

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