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Optimal Portfolio Selection and Asset-Liability Management: Static and Dynamic Programming Approach - Softcover

Sbaraglia, Simone

 
9783639765632: Optimal Portfolio Selection and Asset-Liability Management: Static and Dynamic Programming Approach
Softcover
ISBN 10: 363976563X ISBN 13: 9783639765632
Verlag: Edizioni Accademiche Italiane, 2018

Inhaltsangabe

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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Über die Autorin bzw. den Autor

Simone 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 center in New York, Simone joined the University of Cagliari in 2005.

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Verlag
Edizioni Accademiche Italiane
Erscheinungsdatum
2018
Sprache
Englisch
ISBN 10 
363976563X
ISBN 13 
9783639765632
Einband
Taschenbuch
Anzahl der Seiten
220
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

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