Advanced REIT Portfolio Optimization

Innovative Tools for Risk Management

AvW. Brent Lindquist,Svetlozar T. Rachev

Inbunden, Engelska, 2022

Del 30 i serien Dynamic Modeling and Econometrics in Economics and Finance

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Beskrivning

This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs).

Produktinformation

Utgivningsdatum:2022-11-10
Mått:155 x 235 x 21 mm
Vikt:576 g
Format:Inbunden
Språk:Engelska
Serie:Dynamic Modeling and Econometrics in Economics and Finance
Antal sidor:258
Förlag:Springer International Publishing AG
ISBN:9783031152856

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Mer om författaren

Prof. W. Brent Lindquist is a computational mathematician at Texas Tech University (USA). He has developed numerical methods for portfolio optimization, flow in porous media, 3D image analysis, Riemann problems, hierarchy formation in social groups, and quantum electrodynamics. He was a co-founder of a petroleum software company and has commercially licensed his image analysis code.Yuan Hu received her Ph.D. from Texas Tech University (USA) in 2022. Her current research considers approaches to discrete option pricing; risk management and option valuation of crypto assets; and portfolio optimization constrained by performance attribution. She is currently the Stefan E. Warschawski Visiting Assistant Professor in the Department of Mathematics at the University of California San Diego (USA).Dr. Abootaleb Shirvani received his Ph.D. from Texas Tech University (USA) in 2021. His general research interests include financial mathematics, statistics, and actuarial mathematics. He is currently an assistant professor in Statistics and Actuarial Science in the Department of Mathematics at Kean University (USA).Prof. Svetlozar (Zari) Rachev is a Professor at the Department of Mathematics and Statistics at Texas Tech University (USA) and one of the world’s foremost authorities in the application of heavy-tailed distributions in finance. He was a co-founder and President of Bravo Risk Management Group, originator of the Cognity methodology. Bravo was acquired by FinAnalytica, where Zari served as Chief Scientist.

Innehållsförteckning

Chapter 1. The Real Estate Investment Market: The Current State and Why Advances Are Needed.- Chapter 2. The Data.- Chapter 3. Modern Portfolio Theory.- Chapter 4. Historical Portfolio Optimization – Domestic REITs.- Chapter 5. Diversification with International REITs.- Chapter 6. Black–Litterman Optimization Results.- Chapter 7. Dynamic Portfolio Optimization: Beyond MPT.- Chapter 8. Backtesting.- Chapter 9. Diversification with Real Estate Stocks.- Chapter 10. Risk Information and Management.- Chapter 11. Optimization with Performance-Attribution Constraints.- Chapter 12. Option Pricing.- Chapter 13. Inclusion of ESG Ratings in Optimization.- Chapter 14. Inclusion of ESG Ratings in Option Pricing.