Catálogo de publicaciones - libros

Random portfolios—portfolios that obey constraints but ignore utility—are shown to measure investment skill effectively. Problems are highlighted regarding performance measurement using information ratios relative to a benchmark. Random portfolios can also form the basis of investment mandates Investment mandates—this allows active fund managers more freedom to implement their ideas, and provides the investor more flexibility to gain utility. The computation of random portfolios Random portfolios is briefly discussed

Situations involving real investment options in the presence of multiple sources of jump risk, and controls are analyzed. Randomly arriving jumps include also the special cases of jump-to-ruin on the underlying asset, or on the contingent claim. Management has available impulse-type controls with random outcome. The analytic solutions when available, and a Markov-Chain numerical approach for solving more general investment decision problems are demonstrated