Mathematical methods for portfolio management

Mathematical methods for portfolio management

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Portfolio Management is the process of allocating an investor's wealth to in­ vestment opportunities over a given planning period. Not only should Portfolio Management be treated within a multi-period framework, but one should also take into consideration the stochastic nature of relat...

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Bibliographic Details
Main Author: Ondo, Guy-Roger Abessolo
Other Authors: Potgieter, Petrus H.
Language:en
Published: 2009
Subjects:
Approximation schemes
Extreme value theory
Importance sampling
Nested decomposition
Portfolio management
Postoptimality analysis
Progressive hedging
Scenario aggregation
Stochastic programming
Stochastic Quasi-gradient
Value-at-risk
Online Access:http://hdl.handle.net/10500/784

Internet

http://hdl.handle.net/10500/784

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