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Portfolio Optimization and Performance Evaluation

2014
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Release : 2014
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Book Synopsis Portfolio Optimization and Performance Evaluation by : Hans Jørn Juhl

Download or read book Portfolio Optimization and Performance Evaluation written by Hans Jørn Juhl. This book was released on 2014. Available in PDF, EPUB and Kindle. Book excerpt: 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 Optimization and Performance Analysis

2007-05-07 Business & Economics
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Release : 2007-05-07
Genre : Business & Economics
Kind : eBook
Book Rating : 93X/5 ( reviews)

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Book Synopsis Portfolio Optimization and Performance Analysis by : Jean-Luc Prigent

Download or read book Portfolio Optimization and Performance Analysis written by Jean-Luc Prigent. This book was released on 2007-05-07. Available in PDF, EPUB and Kindle. Book excerpt: 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

Three Studies on Portfolio Optimization and Performance Appraisal

2011
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Release : 2011
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Book Synopsis Three Studies on Portfolio Optimization and Performance Appraisal by :

Download or read book Three Studies on Portfolio Optimization and Performance Appraisal written by . This book was released on 2011. Available in PDF, EPUB and Kindle. Book excerpt:

Portfolio Performance Evaluation

2008 Financial risk management
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Release : 2008
Genre : Financial risk management
Kind : eBook
Book Rating : 825/5 ( reviews)

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Book Synopsis Portfolio Performance Evaluation by : George O. Aragon

Download or read book Portfolio Performance Evaluation written by George O. Aragon. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization

2008-02-25 Business & Economics
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Release : 2008-02-25
Genre : Business & Economics
Kind : eBook
Book Rating : 164/5 ( reviews)

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Book Synopsis Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization by : Svetlozar T. Rachev

Download or read book Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization written by Svetlozar T. Rachev. This book was released on 2008-02-25. Available in PDF, EPUB and Kindle. Book excerpt: This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.

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