Practical financial optimization decision making for financial engineers
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Datensatz im Suchindex
| _version_ | 1819789646626816000 |
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| adam_text | PRACTICAL FINANCIAL OPTIMIZATION DECISION MAKING FOR FINANCIAL ENGINEERS
STAVROS A. ZENIOS UNIVERSITY OF CYPRUS, AND THE WHARTON FINANCIAL
INSTITUTIONS CENTER BLACKWELL CAMBRIDGE 2008 AGI-INFORMATION
MANAGEMENT CONSULTANTS MAY BE USED FOR PERSONAL PURPORSES ONLY OR BY
LIBRARIES ASSOCIATED TO DANDELON.COM NETWORK. CONTENTS FOREWORD, BY
HARRY M. MARKOWITZ XV PREFACE * XVII ACKNOWLEDGMENTS XXI TEXT CREDITS
XXIII NOTATION XXV LIST OF MODELS XXIX I INTRODUCTION 1 1 AN
OPTIMIZATION VIEW OF FINANCIAL ENGINEERING 3 1.1 PREVIEW 3 1.2
OPTIMIZATION IN FINANCIAL ENGINEERING 3 1.3 ENTERPRISE-WIDE RISK
MANAGEMENT 7 1.3.1 WHAT IS ENTERPRISE-WIDE RISK MANAGEMENT? 7 1.3.2
ENTERPRISE-WIDE RISK MANAGEMENT FOR A SINGLE BUSINESS 10 1.3.3
ENTERPRISE-WIDE RISK MANAGEMENT FOR A BUSINESS PORTFOLIO 12 1.3.4
INTEGRATING DESIGN, PRICING, FUNDING, AND CAPITALIZATION 12 1.3.5
COMPONENTS OF ENTERPRISE-WIDE RISK MANAGEMENT 13 1.3.6 WHY
ENTERPRISE-WIDE RISK MANAGEMENT IS IMPORTANT 17 1.3.7 ASSET AND
LIABILITY MANAGEMENT 18 1.4 THE SCOPE FOR OPTIMIZATION IN
ENTERPRISE-WIDE RISK MANAGEMENT 20 1.4.1 CAVEAT: WHAT TO OPTIMIZE? 21
1.5 OVERVIEW OF FINANCIAL OPTIMIZATION MODELS 22 1.5.1 BASICS OF RISK
MANAGEMENT 22 1.5.2 MEAN-VARIANCE PORTFOLIO OPTIMIZATION 22 1.5.3
PORTFOLIO MODELS FOR FIXED INCOME 23 1.5.4 SCENARIO OPTIMIZATION 24
1.5.5 DYNAMIC PORTFOLIO OPTIMIZATION 25 1.5.6 INDEX FUNDS 25 1.5.7
DESIGNING FINANCIAL PRODUCTS 26 1.5.8 SCENARIO GENERATION 26 1.5.9
APPLICATIONS 27 1.6 POSTVIEW 27 NOTES AND REFERENCES 27 2 BASICS OF RISK
MANAGEMENT 31 2.1 PREVIEW 31 2.2 A CLASSIFICATION OF FINANCIAL RISKS 31
2.3 RISK MEASUREMENT FOR EQUITIES 37 VIII CONTENTS 2.4 RISK MEASUREMENT
FOR FIXED-INCOME SECURITIES 44 2.4.1 DURATION AND CONVEXITY 46 2.4.2
FACTOR ANALYSIS OF THE TERM STRUCTURE 49 2.4.3 OPTION ADJUSTED ANALYSIS
53 2.5 SCENARIO ANALYSIS FOR FIXED-INCOME SECURITIES 56 2.6
ENTERPRISE-WIDE RISK MEASUREMENT 58 2.7 COHERENT RISK MEASUREMENT 61 2.8
MEASUREMENT OF REWARD AND PERFORMANCE EVALUATION 63 2.8.1 INVESTOR
CHOICE 64 2.8.2 PERFORMANCE EVALUATION 66 2.9 CLASSIFICATION OF RISK
MANAGEMENT MODELS 66 2.10 POSTVIEW 68 NOTES AND REFERENCES 69 II
PORTFOLIO OPTIMIZATION MODELS 71 3 MEAN-VARIANCE ANALYSIS 73 3.1 PREVIEW
73 3.2 MEAN-VARIANCE OPTIMIZATION 73 3.2.1 CANONICAL FORMULATION 74
3.2.2 GENERAL FORMULATIONS 78 3.2.3 TRADING SIZES AND TRANSACTION COSTS
80 3.2.4 PORTFOLIO REVISION 82 3.3 INCORPORATING LIABILITIES 84 3.4
FACTOR MODELS OF RETURN 85 3.4.1 SINGLE-FACTOR MODEL 85 3.4.2
MULTI-FACTOR MODEL 88 3.5 ARE OPTIMIZED PORTFOLIOS OPTIMAL? 91 3.6
POSTVIEW 92 NOTES AND REFERENCES 93 4 PORTFOLIO MODELS FOR FIXED INCOME
95 4.1 PREVIEW . 95 4.2 PORTFOLIO DEDICATION 95 4.2.1 CASHFLOW MATCHING
WITH PERFECT FORESIGHT 96 4.2.2 CASHFLOW MATCHING WITH BORROWING AND
REINVESTMENT 98 4.2.3 HORIZON RETURNS 99 4.2.4 LOT SIZES, TRANSACTION
COSTS, AND PORTFOLIO REVISION 99 4.2.5 DIVERSIFICATION 100 4.2.6
BOOTSTRAPPING THE YIELD OF DEDICATED PORTFOLIOS 101 4.3 PORTFOLIO
IMMUNIZATION 101 4.4 FACTOR IMMUNIZATION 104 4.5 FACTOR IMMUNIZATION FOR
CORPORATE BONDS 106 4.5.1 FACTOR ANALYSIS OF CORPORATE YIELDS 107 4.5.2
FACTOR IMMUNIZATION WITH UNCORRELATED CREDIT RATINGS 109 4.5.3 FACTOR
IMMUNIZATION WITH CORRELATED CREDIT RATINGS 112 4.6 POSTVIEW 113 NOTES
AND REFERENCES 113 CONTENTS IX 5 SCENARIO OPTIMIZATION 115 5.1 PREVIEW
115 5.2 BASICS OF SCENARIO OPTIMIZATION 115 5.3 MEAN ABSOLUTE DEVIATION
MODELS 116 5.3.1 SEMI-ABSOLUTE DEVIATION 119 5.3.2 EQUIVALENCE OF
ABSOLUTE DEVIATION MEASURES 120 5.3.3 TRACKING MODEL 121 5.4 REGRET
MODELS 122 5.4.1 E-REGRET MODELS 123 5.5 CONDITIONAL VALUE-AT-RISK
MODELS 125 5.6 EXPECTED UTILITY MAXIMIZATION 127 5.7 PUT/CALL EFFICIENT
FRONTIERS 129 5.7.1 PUT/CALL EFFICIENT FRONTIERS WITHOUT CONSTRAINTS 130
5.7.2 PUT/CALL EFFICIENT FRONTIERS WITH FINITE LIQUIDITY 133 5.8 ASSET
VALUATION USING SCENARIO OPTIMIZATION 136 5.8.1 OPTIMIZATION MODELS OF
ARBITRAGE 136 5.8.2 VALUATION IN COMPLETE MARKETS 138 5.8.3 VALUATION IN
DYNAMICALLY COMPLETE MARKETS 139 5.8.4 VALUATION IN INCOMPLETE MARKETS
140 5.8.5 UTILITY INVARIANT PRICING 142 5.9 POSTVIEW 144 NOTES AND
REFERENCES 145 6 DYNAMIC PORTFOLIO OPTIMIZATION WITN STOCHASTIC
PROGRAMMING 147 6.1 PREVIEW 147 6.2 SETTING THE STAGE FOR DYNAMIC MODELS
147 6.2.1 NOTATION FOR DYNAMIC MODELS 151 6.3 DECISION RULES FOR DYNAMIC
PORTFOLIO STRATEGIES 152 6.3.1 BUY-AND-HOLD STRATEGY 152 6.3.2 CONSTANT
MIX STRATEGY . 152 6.3.3 CONSTANT PROPORTION STRATEGY 154 6.3.4
OPTION-BASED PORTFOLIO INSURANCE 154 6.4 STOCHASTIC DEDICATION 155 6.5
BASIC CONCEPTS OF STOCHASTIC PROGRAMMING 157 6.5.1 THE NEWSVENDOR
PROBLEM 158 6.5.2 CANONICAL STOCHASTIC PROGRAMMING PROBLEMS 159 6.5.3
ANTICIPATIVE MODELS 160 6.5.4 ADAPTIVE MODELS 160 6.5.5 RECOURSE MODELS
161 6.5.6 DETERMINISTIC EQUIVALENT FORMULATION 162 6.5.7 SPLIT VARIABLE
FORMULATION 163 6.5.8 MULTI-STAGE MODELS 164 6.6 STOCHASTIC PROGRAMMING
FOR DYNAMIC PORTFOLIO STRATEGIES 165 6.6.1 MODEL FORMULATION 167 6.7
COMPARISON OF STOCHASTIC PROGRAMMING WITH OTHER METHODS 172 6.7.1
MEAN-VARIANCE MODELS AND DOWNSIDE RISK 172 6.7.2 DISCRETE-TIME,
MULTI-PERIOD MODELS 172 6.7.3 CONTINUOUS-TIME MODELS 173 6.7.4
STOCHASTIC PROGRAMMING 174 6.8 POSTVIEW 174 NOTES AND REFERENCES 175
CONTENTS INDEX FUNDS 177 7.1 PREVIEW 177 7.2 BASICS OF MARKET INDICES
177 7.3 INDEXATION MODELS 180 7.3.1 A STRUCTURAL MODEL FOR INDEX FUNDS
181 7.3.2 A MODEL FOR INDEX FUNDS BASED ON CO-MOVEMENTS 181 7.4 MODELS
FOR INTERNATIONAL INDEX FUNDS 183 7.4.1 CREATING A GLOBAL INDEX 183
7.4.2 INTEGRATED INDEXATION MODELS 184 7.4.3 NONINTEGRATED MODELS 185
7.4.4 OPERATIONAL MODEL 186 7.5 MODELS FOR CORPORATE BOND INDEX FUNDS
188 7.6 STOCHASTIC PROGRAMMING FOR INDEX FUNDS 189 7.6.1 NOTATION 189
7.6.2 MODEL FORMULATION 191 7.7 APPLICATIONS OF INDEXATION MODELS 193
7.7.1 TRACKING AN INTERNATIONAL GOVERNMENT BOND INDEX 194 7.7.2 TRACKING
A CORPORATE BOND INDEX 197 7.7.3 ENHANCED INDEX FUNDS 198 7.7.4
STOCHASTIC PROGRAMMING MODELS FOR INDEX TRACKING 199 7.8 POSTVIEW 202
NOTES AND REFERENCES 204 DESIGNING FINANCIAL PRODUCTS 205 8.1 PREVIEW *
.... 205 8.2 FINANCIAL INNOVATION 205 8.3 FINANCIAL PRODUCT NOVELTIES
206 8.3.1 GUARANTEED INVESTMENT CONTRACTS 206 8.3.2 CALLABLE BONDS 207
8.3.3 SINGLE PREMIUM DEFERRED ANNUITIES 208 8.3.4 ASSET-BACKED
SECURITIES 210 8.3.5 MORTGAGE-BACKED AND DERIVATIVE SECURITIES 211 8.4 A
FRAMEWORK FOR FINANCIAL PRODUCT DESIGN 215 8.4.1 RISK AVERSION AND
CERTAINTY EQUIVALENT RETURN . 216 8.4.2 MODEL FORMULATION 217 8.5
OPTIMAL DESIGN OF CALLABLE BONDS . . . 220 8.6 POSTVIEW C. . 222 NOTES
AND REFERENCES 222 SCENARIO GENERATION 225 9.1 PREVIEW 225 9.2
SCENARIOS AND THEIR PROPERTIES 225 9.2.1 SCENARIO DEFINITION 226 9.2.2
SCENARIO PROPERTIES 227 9.3 A FRAMEWORK FOR SCENARIO GENERATION 228
9.3.1 SCENARIOS FOR THE LIABILITIES . 231 9.3.2 SCENARIOS OF ECONOMIC
FACTORS AND ASSET RETURNS 232 9.4 SCENARIO GENERATION METHODOLOGIES 233
9.4.1 BOOTSTRAPPING HISTORICAL DATA 234 9.4.2 STATISTICAL MODELING: THE
VALUE-AT-RISK APPROACH 234 9.4.3 STATISTICAL MODELING: TIME SERIES
ANALYSIS 236 CONTENTS XI 9.4.4 DISCRETE LATTICE APPROXIMATIONS OF
CONTINUOUS MODELS 239 9.5 CONSTRUCTING EVENT TREES 242 9.5.1 SAMPLING
AND TREE FITTING 242 9.5.2 ARBITRAGE-FREE EVENT TREES 244 9.6 POSTVIEW
247 NOTES AND REFERENCES 247 III APPLICATIONS 251 10 INTERNATIONAL ASSET
ALLOCATION 253 10.1 PREVIEW 253 10.2 THE RISKS OF INTERNATIONAL ASSET
PORTFOLIOS 253 10.3 HEDGING STRATEGIES ., 254 10.4 STATISTICAL
CHARACTERISTICS OF INTERNATIONAL DATA 255 10.5 MODEL FOR SELECTIVE
HEDGING 256 10.6 ASSET ALLOCATION 258 10.6.1 ASSET ALLOCATION IN
TREASURIES 259 10.6.2 ASSET ALLOCATION IN EQUITIES 260 10.6.3 ASSET
ALLOCATION IN TREASURIES AND EQUITIES 260 10.7 RISK MEASURE FOR
INTERNATIONAL ASSET ALLOCATION 261 10.8 POSTVIEW *.. -. 264 NOTES AND
REFERENCES 265 11 CORPORATE BOND PORTFOLIOS 267 11.1 PREVIEW 267 11.2
CREDIT RISK SECURITIES 267 11.3 INTEGRATING MARKET AND CREDIT RISK 268
11.3.1 SCENARIO GENERATION FOR CORPORATE BONDS 270 11.3.2 THE SIMULATION
FRAMEWORK 270 11.4 OPTIMIZING THE RIGHT RISK METRIC 275 11.4.1 TAIL
EFFECTS ON EFFICIENT FRONTIERS 275 11.4.2 CONDITIONAL VALUE-AT-RISK
EFFICIENT FRONTIERS 277 11.5 INDEX FUNDS FOR CORPORATE BOND PORTFOLIOS
282 11.5.1 INDEXATION BY STRATEGIC ASSET-ALLOCATION 282 11.5.2 TACTICAL
BOND PICKING MODEL 283 11.6 TRACKING THE MERRILL LYNCH EURO DOLLAR
CORPORATE BOND INDEX 284 11.6.1 SENSITIVITY TO ALTERNATIVE RISK FACTORS
285 11.6.2 SENSITIVITY TO MODEL CHOICES 288 11.7 FUNDING LIABILITIES
WITH CORPORATE BONDS 291 11.8 POSTVIEW 292 NOTES AND REFERENCES 294 12
INSURANCE POLICIES WITH GUARANTEES 297 12.1 PREVIEW 297 12.2
PARTICIPATING POLICIES WITH GUARANTEES 297 12.3 THE ITALIAN INSURANCE
INDUSTRY 299 12.3.1 GUARANTEED PRODUCTS WITH BONUS PROVISIONS 300 12.3.2
CURRENT ASSET AND LIABILITY MANAGEMENT PRACTICES 301 12.4 THE SCENARIO
OPTIMIZATION MODEL 302 12.4.1 FEATURES OF THE MODEL 302 XII CONTENTS
12.4.2 NOTATION 302 12.4.3 VARIABLE DYNAMICS AND CONSTRAINTS 303 12.4.4
LINEARLY CONSTRAINED OPTIMIZATION MODEL 305 12.4.5 SURRENDER OPTION 308
12.4.6 MODEL EXTENSIONS 309 12.4.7 REVERSIONARY AND TERMINAL BONUSES 310
12.5 MODEL TESTING AND VALIDATION 311 12.5.1 INTEGRATIVE ASSET AND
LIABILITY MANAGEMENT 312 12.5.2 ANALYSIS OF THE TRADE-OFFS 314 12.5.3
ANALYSIS OF ALTERNATIVE DEBT STRUCTURES 316 12.5.4 THE VIEW FROM THE
REGULATOR S DESK 320 12.5.5 ADDITIONAL MODEL FEATURES 321 12.5.6
BENCHMARKS OF ITALIAN INSURANCE POLICIES 324 12.5.7 COMPARING ITALIAN
WITH UK POLICIES 326 12.6 POSTVIEW 329 NOTES AND REFERENCES 330 13
PERSONAL FINANCIAL PLANNING 333 13.1 PREVIEW 333 13.2 THE DEMAND FOR
PERSONAL FINANCIAL PLANNING 333 13.3 THE PROVISION OF FINANCIAL SERVICES
334 13.4 WEB-BASED PERSONAL FINANCIAL TOOLS 337 13.4.1 STRATEGIC
DECISIONS: THE PERSONAL ASSET ALLOCATION TOAL 338 13.4.2 TACTICAL
DECISIONS: THE PERSONAL RATING TOOL 338 13.4.3 CONTROL: THE PERSONAL
RISK ANALYSIS TOOL 339 13.5 MODEL FOR PERSONAL FINANCIAL PLANNING 339
13.5.1 SOLVING THE LINEAR DYNAMIC EQUATIONS 341 13.5.2 ANALYSIS OF THE
MODEL 342 13.6 MODEL VALIDATION AND TESTING 343 13.6.1 PROBABILITY OF
SUCCESS AND HOW TO IMPROVE IT 347 13.6.2 AN APPARATUS TO EXPLAIN THE
EQUITY PREMIUM PUZZLE 348 13.7 THE INTEGRATED DECISION SUPPORT SYSTEM
351 13.7.1 THE CASE OF THE ROSSI FAMILY 351 13.8 POSTVIEW 356 NOTES AND
REFERENCES 356 IV LIBRARY OF FINANCIAL OPTIMIZATION MODELS 357 14
FINLIB: A LIBRARY OF FINANCIAL OPTIMIZATION MODELS 359 14.1 PREVIEW 359
14.2 FINLIB: FINANCIAL OPTIMIZATION LIBRARY -359 14.3 STUDIO DESIGNS:
PROJECT SUGGESTIONS 360 14.3.1 BASICS OF MODELING 361 14.3.2
MEAN-VARIANCE ANALYSIS 361 14.3.3 PORTFOLIO MODELS FOR FIXED INCOME 361
14.3.4 SCENARIO OPTIMIZATION 361 14.3.5 DYNAMIC PORTFOLIO OPTIMIZATION
362 14.3.6 INDEX FUNDS 362 14.3.7 DESIGNING FINANCIAL PRODUCTS 362
14.3.8 SCENARIO GENERATION 363 CONTENTS XIII 14.3.9 APPLICATIONS 363
NOTES AND REFERENCES 363 A BASICS OF OPTIMIZATION 365 A.I DUALITY 365
A.2 OPTIMALITY CONDITIONS 366 A.3 LAGRANGE MULTIPLIERS 367 B BASICS OF
PROBABILITY THEORY 369 B.I PROBABILITY SPACES 369 C STOCHASTIC PROCESSES
371 C.I THE POISSON PROCESS 372 C.2 THE GAUSSIAN PROCESS 372 C.3 THE
WIENER PROCESS 373 C.4 MARKOV CHAINS 373 BIBLIOGRAPHY 375 INDEX 393
|
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| id | DE-604.BV036053994 |
| illustrated | Illustrated |
| indexdate | 2024-12-23T22:57:50Z |
| institution | BVB |
| isbn | 9781405132008 9781405132015 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018945614 |
| oclc_num | 254469693 |
| open_access_boolean | |
| owner | DE-634 DE-2070s |
| owner_facet | DE-634 DE-2070s |
| physical | XXX, 400 S. graph. Darst. |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Blackwell |
| record_format | marc |
| spellingShingle | Zenios, Stauros Andrea 1959- Practical financial optimization decision making for financial engineers Mathematisches Modell Finance Mathematical models Mathematical optimization Financial Engineering (DE-588)4208404-0 gnd Optimierung (DE-588)4043664-0 gnd |
| subject_GND | (DE-588)4208404-0 (DE-588)4043664-0 |
| title | Practical financial optimization decision making for financial engineers |
| title_auth | Practical financial optimization decision making for financial engineers |
| title_exact_search | Practical financial optimization decision making for financial engineers |
| title_full | Practical financial optimization decision making for financial engineers Stavros A. Zenios |
| title_fullStr | Practical financial optimization decision making for financial engineers Stavros A. Zenios |
| title_full_unstemmed | Practical financial optimization decision making for financial engineers Stavros A. Zenios |
| title_short | Practical financial optimization |
| title_sort | practical financial optimization decision making for financial engineers |
| title_sub | decision making for financial engineers |
| topic | Mathematisches Modell Finance Mathematical models Mathematical optimization Financial Engineering (DE-588)4208404-0 gnd Optimierung (DE-588)4043664-0 gnd |
| topic_facet | Mathematisches Modell Finance Mathematical models Mathematical optimization Financial Engineering Optimierung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018945614&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT zeniosstaurosandrea practicalfinancialoptimizationdecisionmakingforfinancialengineers |