Overview
Part of the book series: International Series in Operations Research & Management Science (ISOR, volume 47)
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Table of contents (13 chapters)
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Front Matter
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Background
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Front Matter
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Model-Free Empirical Strategies and Their Evaluation
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Front Matter
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Optimal Strategies for the Diffusion Market Model with Observable Parameters
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Front Matter
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Optimal Strategies Based on Historical Data for Markets with Nonobservable Parameters
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Front Matter
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Back Matter
Keywords
About this book
Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information investigates optimal investment problems for stochastic financial market models. It is addressed to academics and students who are interested in the mathematics of finance, stochastic processes, and optimal control, and also to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis.
While there are many works devoted to the solution of optimal investment problems for various models, the focus of this book is on analytical strategies based on "technical analysis" which are model-free. The technical analysis of these strategies has a number of characteristics. Two of the more important characteristics are: (1) they require only historical data, and (2) typically they are more widely used by traders than analysis based on stochastic models. Hence it is the objective of this book to reduce the gap between model-free strategies and strategies that are "optimal" for stochastic models. We hope that researchers, students and practitioners will be interested in some of the new empirically based methods of "technical analysis" strategies suggested in this book and evaluated via stochastic market models.
Authors and Affiliations
Bibliographic Information
Book Title: Dynamic Portfolio Strategies: quantitative methods and empirical rules for incomplete information
Book Subtitle: Quantitative Methods and Empirical Rules for Incomplete Information
Authors: Nikolai Dokuchaev
Series Title: International Series in Operations Research & Management Science
DOI: https://doi.org/10.1007/978-1-4615-0921-9
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Kluwer Academic Publishers 2002
Hardcover ISBN: 978-0-7923-7648-4Published: 31 January 2002
Softcover ISBN: 978-1-4613-5305-8Published: 21 October 2012
eBook ISBN: 978-1-4615-0921-9Published: 06 December 2012
Series ISSN: 0884-8289
Series E-ISSN: 2214-7934
Edition Number: 1
Number of Pages: XXVI, 201
Topics: Operations Research/Decision Theory, Finance, general, Optimization