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Portfolio Choice Problems

An Introductory Survey of Single and Multiperiod Models

  • Book
  • © 2011

Overview

Editors:
  1. Nicolas Chapados

    1. , Department IRO, University of Montreal, Montreal, Canada

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Part of the book series: SpringerBriefs in Electrical and Computer Engineering (BRIEFSELECTRIC)

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Table of contents (4 chapters)

  1. Front Matter

    Pages i-xi
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  2. Introduction

    • Nicolas Chapados
    Pages 1-6

  3. Single-Period Problems

    • Nicolas Chapados
    Pages 7-36

  4. Multiperiod Problems

    • Nicolas Chapados
    Pages 37-59

  5. Direct and Alternative Methods for Portfolio Choice

    • Nicolas Chapados
    Pages 61-70

  6. Back Matter

    Pages 71-96
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Keywords

About this book

This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.

Reviews

From the reviews:

“This book provides a reader with a compact treatment of a quite wide spectrum of portfolio choice problems. The author aims to review the main classical results concerning optimal portfolio construction … . The book is very concise but written in a clear, accessible way. It can serve as a useful source for students and academics entering the field, as well as practitioners looking for a broad coverage of the topic.” (Malgorzata Doman, Zentralblatt MATH, Vol. 1232, 2012)

Editors and Affiliations

  • , Department IRO, University of Montreal, Montreal, Canada

    Nicolas Chapados

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