Factor and Securities Models

Mark H. A. Davis and Sebastien Lleo

Chapter 12 in Risk-Sensitive Investment Management, 2014, pp 307-315 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Portfolio optimisation models, whether static or dynamic, are inscribed within a much wider portfolio management framework. The current industry standard is the three-step portfolio management process proposed by Maginn et al. (2007). This process finds its roots in Markowitz' famous ‘two stages’…

Keywords: Stochastic Control; Risk Sensitive Control; Dynamic Investment Management; Benchmarked Asset Management; Asset and Liability Management; Jump Diffusion Processes; Lévy Processes; Hamilton–Jacobi–Bellman Equations; Classical Solutions; Viscosity Solutions; Kelly Criterion (search for similar items in EconPapers)
Date: 2014
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