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Optimal Portfolio Selection and Asset-Liability Management: Static and Dynamic Programming Approach - Softcover
Synopsis
In this book we face the problems of the optimal portfolio selection and asset- liability management, with constraints and transaction costs. In the basic problem, the portfolio manager has to manage an initial investment A0 until a fixed maturity T > 0. The manager is free to choose how to invest the money among a number of available assets and can periodically modify the portfolio composition, but has to satisfy several constraints both of endogenous and exogenous nature. Furthermore, each allocation change entails transaction costs, since it implies selling part of an asset to provide either liquidity or a different asset. The company manages the investments to achieve a number of goals, the most important of which is to meet its obligations towards the policy-holders.
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Optimal Portfolio Selection and Asset-Liability Management
Published by
Edizioni Accademiche Italiane Dez 2018, 2018
ISBN 10: 363976563X
ISBN 13: 9783639765632
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Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this book we face the problems of the optimal portfolio selection and asset- liability management, with constraints and transaction costs. In the basic problem, the portfolio manager has to manage an initial investment A0 until a fixed maturity T 0. The manager is free to choose how to invest the money among a number of available assets and can periodically modify the portfolio composition, but has to satisfy several constraints both of endogenous and exogenous nature. Furthermore, each allocation change entails transaction costs, since it implies selling part of an asset to provide either liquidity or a different asset. The company manages the investments to achieve a number of goals, the most important of which is to meet its obligations towards the policy-holders. 220 pp. Englisch. Seller Inventory # 9783639765632
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Optimal Portfolio Selection and Asset-Liability Management
Published by
Edizioni Accademiche Italiane, 2018
ISBN 10: 363976563X
ISBN 13: 9783639765632
New
Softcover
Seller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Sbaraglia SimoneSimone Sbaraglia is Associate Professor at the University of Cagliari, Italy. After receiving a PhD in Mathematics from University of Rome and conducting several years of research at the IBM T.J. Watson Research cente. Seller Inventory # 385760218
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Optimal Portfolio Selection and Asset-Liability Management : Static and Dynamic Programming Approach
Published by
Edizioni Accademiche Italiane, 2018
ISBN 10: 363976563X
ISBN 13: 9783639765632
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this book we face the problems of the optimal portfolio selection and asset- liability management, with constraints and transaction costs. In the basic problem, the portfolio manager has to manage an initial investment A0 until a fixed maturity T 0. The manager is free to choose how to invest the money among a number of available assets and can periodically modify the portfolio composition, but has to satisfy several constraints both of endogenous and exogenous nature. Furthermore, each allocation change entails transaction costs, since it implies selling part of an asset to provide either liquidity or a different asset. The company manages the investments to achieve a number of goals, the most important of which is to meet its obligations towards the policy-holders. Seller Inventory # 9783639765632
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Optimal Portfolio Selection and Asset-Liability Management: Static and Dynamic Programming Approach
Published by
Edizioni Accademiche Italiane, 2018
ISBN 10: 363976563X
ISBN 13: 9783639765632
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Paperback
Seller: Revaluation Books, Exeter, United Kingdom
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Paperback. Condition: Brand New. 220 pages. 8.66x5.91x0.50 inches. In Stock. Seller Inventory # 363976563X
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Optimal Portfolio Selection and Asset-Liability Management
Published by
Edizioni Accademiche Italiane Dez 2018, 2018
ISBN 10: 363976563X
ISBN 13: 9783639765632
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In this book we face the problems of the optimal portfolio selection and asset- liability management, with constraints and transaction costs. In the basic problem, the portfolio manager has to manage an initial investment A0 until a fixed maturity T > 0. The manager is free to choose how to invest the money among a number of available assets and can periodically modify the portfolio composition, but has to satisfy several constraints both of endogenous and exogenous nature. Furthermore, each allocation change entails transaction costs, since it implies selling part of an asset to provide either liquidity or a different asset. The company manages the investments to achieve a number of goals, the most important of which is to meet its obligations towards the policy-holders.OmniScriptum SRL, Str. Armeneasca 28/1, office 1, 2012 Chisinau 220 pp. Englisch. Seller Inventory # 9783639765632
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Optimal Portfolio Selection and Asset-Liability Management | Static and Dynamic Programming Approach
Published by
Edizioni Accademiche Italiane, 2018
ISBN 10: 363976563X
ISBN 13: 9783639765632
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Taschenbuch
Seller: preigu, Osnabrück, Germany
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Taschenbuch. Condition: Neu. Optimal Portfolio Selection and Asset-Liability Management | Static and Dynamic Programming Approach | Simone Sbaraglia | Taschenbuch | 220 S. | Englisch | 2018 | Edizioni Accademiche Italiane | EAN 9783639765632 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 115139546