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Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information

  • Nikolai Dokuchaev

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 47)

Table of contents

  1. Front Matter
    Pages i-xxvi
  2. Background

    1. Front Matter
      Pages 1-1
    2. Nikolai Dokuchaev
      Pages 3-12
  3. Model-Free Empirical Strategies and Their Evaluation

  4. Optimal Strategies for the Diffusion Market Model with Observable Parameters

    1. Front Matter
      Pages 61-61
    2. Nikolai Dokuchaev
      Pages 77-87
  5. Optimal Strategies Based on Historical Data for Markets with Nonobservable Parameters

  6. Back Matter
    Pages 195-201

About this book

Introduction

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.

Keywords

Arbitrage Finance Investment Observable Quantitative Analysis Quantitative Methods Stochastic Processes Stochastic model Stochastic models

Authors and affiliations

  • Nikolai Dokuchaev
    • 1
    • 2
  1. 1.The Institute of Mathematics and MechanicsSt. Petersburg State UniversitySt. PetersburgRussia
  2. 2.Department of Mathematics and Computer ScienceThe University of West IndiesKingston 7Jamaica

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4615-0921-9
  • Copyright Information Springer-Verlag US 2002
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-0-7923-7648-4
  • Online ISBN 978-1-4615-0921-9
  • Series Print ISSN 0884-8289
  • Buy this book on publisher's site
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