Portfolio Optimization & Perfomance Analysis By Jean-Luc Prigent – Digital Download!
In response to the rapid emergence of new financial products and the growing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis provides a comprehensive foundation in modern portfolio theory. It presents both established and innovative findings on the axiomatic principles of individual choice under uncertainty, offers a clear overview of traditional portfolio optimization, reviews key results for both static and dynamic cases, and demonstrates how theoretical insights can be applied to practical and operational portfolio management.
Structured into four sections reflecting the book’s objectives, the first part covers the core results of decision theory, including utility maximization and risk measure minimization. The second section addresses both active and passive portfolio management, focusing on standard optimization techniques and performance metrics. Next, the book explores dynamic portfolio optimization based on stochastic control and martingale theory, as well as portfolio optimization under market frictions such as incompleteness, transaction costs, labor income, and random time horizons. The final part applies theoretical concepts to real-world portfolio optimization, including structured portfolio management, portfolio insurance strategies, and performance measures for alternative investments like hedge funds.
By integrating the diverse aspects of portfolio management theory, this book equips students and professionals with a deep and practical understanding of the field.
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
