Catalogo

Optimal Portfolio Selection and Asset-Liability Management

Optimal Portfolio Selection and Asset-Liability Management

Static and Dynamic Programming Approach

Edizioni Accademiche Italiane ( 21.12.2018 )

€ 76,90

Ordini su MoreBooks!

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.

dettaglio del libro:

ISBN-13:

978-3-639-76563-2

ISBN-10:

363976563X

EAN:

9783639765632

lingua del libro:

English

Da (autore):

Simone Sbaraglia

Numero delle pagine:

220

Pubblicato il:

21.12.2018

Categoria:

Economia