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Multicriteria Portfolio Management

Springer New York,
Buch
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This book presents an innovative, integrated methodological approach to the construction and selection of equity portfolios. The text integrates stochastic methods for portfolio comparisons to offer a unified model for decision making in portfolio management.

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Titel: Multicriteria Portfolio Management
Autoren/Herausgeber: Panagiotis Xidonas, George Mavrotas, Theodore Krintas, John Psarras, Constantin Zopounidis
Aus der Reihe: Springer Optimization and Its Applications
Ausgabe: 2012

ISBN/EAN: 9781461436690

Seitenzahl: 130
Format: 23,5 x 15,5 cm
Produktform: Hardcover/Gebunden
Gewicht: 380 g
Sprache: Englisch

The primary  purpose in this book is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios. The approach  takes into account the inherent multidimensional nature of the problem, while allowing the decision makers to incorporate specified preferences in the decision processes. A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria; the expected return and portfolio variance. According to most of the portfolio models derived from the stochastic dominance approach, the group of portfolios open to comparisons is divided into two parts: the efficient portfolios, and the dominated. This work integrates the two approaches providing a unified model for decision making in portfolio management with multiple criteria.

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