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(See
review)
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.
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by
Nikolai
Dokuchaev
St.
Petersburg State University, Russia and The University of West
Indies, Jamaica
List
of Figures. List of Tables. Acknowledgments. Introduction. Part
I: Background. 1. Stochastic Market Model. Part
II: Model-free Empirical Strategies and Their Evaluation.
2. Two Empirical Model-Free `Winning' Strategies and Their
Statistical Evaluation. 3. Strategies for Investment in
Options. 4. Continuous-Time Analogs of `Winning' Strategies
and Asymptotic Arbitrage. Part III: Optimal Strategies for
the Diffusion Market Model with Observable Parameters. 5.
Optimal Strategies with Direct Observation of Parameters. 6.
Optimal Portfolio Compression. 7. Maximin Criterion for
Observable But Nonpredictable Parameters. Part IV: Optimal
Strategies Based on Historical Data for Markets with
Nonobservable Parameters. 8. Strategies Based on
Historical Prices and Volume: Existence Result. 9. Solution
for Log and Power Utilities With Historical Prices and Volume. 10.
Solution for General Utilities and Constraints Via Parabolic
Equations. 11. Special Cases and Examples: Replicating with
Gap and Goal Achieving. 12. Unknown Distribution: Maximin
Criterion and Duality Approach. 13. On Replication of
Claims. References. Index
Kluwer
Academic Publishers, Boston
Hardbound, ISBN 0-7923-7648-X
January
2002 , 232 pp.
EUR 120.00 / USD 110.00 /
GBP 77.00
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