Asset allocation in wealth management using stochastic models

Asset allocation in wealth management using stochastic models

Modern financial asset pricing theory is a broad, and at times, complex field. The literature review in this study covers many of the asset pricing techniques including factor models, random walk models, correlation models, Bayesian methods, autoregressive models, moment-matching models, stochastic...

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Bibliographic Details
Main Author: Royden-Turner, Stuart Jack
Other Authors: Potgieter, P. H.
Format: Others
Language:en
Published: 2017
Subjects:
Asset allocation
Active and passive investment strategy
Multi-period portfolio optimisation
Modern asset pricing
Stochastic processes
Conditional value at risk
Time-varying transitional-probability Markov regime switching model
Inter-temporal mean-reversion
Integrated stochastic liability
Two-stage problems with recourse
Dynamic stochastic programme
332.6
Asset pricing
Bayesian statistical decision theory
Investments
Markov prosses
Online Access:Royden-Turner, Stuart Jack (2016) Asset allocation in wealth management using stochastic models, University of South Africa, Pretoria, <http://hdl.handle.net/10500/22129>
http://hdl.handle.net/10500/22129

Internet

Royden-Turner, Stuart Jack (2016) Asset allocation in wealth management using stochastic models, University of South Africa, Pretoria, <http://hdl.handle.net/10500/22129>
http://hdl.handle.net/10500/22129

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