Portfolio Optimization and Performance Analysis

Prigent is an advanced book on portfolio optimization for both static portfolios under standard decision theory and dynamic portfolios under stochastic control and martingale theory. Practical issues such as market frictions and random time horizons are addressed. Applications include portfolio insurance and hedge funds. The book does not so much develop a unified theory as cite lots of research papers, with brief or even cryptic explanations of their conclusions ...

For similar books, see sections:

Portfolio Management - Allocation/Optimization

Portfolio Management - General

Finance - Portfolio Theory

Risk Management - Market Risk

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