Chapter 15 Portfolio Optimization and Management of Default Risk
Chapter Outline
- Optimization Procedures 378
- Continuous Optimization 380
- Procedure 382
- Results Interpretation 383
- Discrete Integer Optimization 383
- Procedure 387
- Results Interpretation 387
- Efficient Frontier and Advanced Optimization Settings 387
- Stochastic Optimization 388
- Running an Optimization 392
- Viewing and Interpreting Forecast Results 393
- Notes 395
- Illustrative Example: Portfolio Optimization and the Effects on Portfolio Value at Risk 395
- Exercise: Optimization 396
- Model Background 397
- Running Static, Dynamic, and Stochastic Optimization with Continuous Decision Variables 398
- Procedure 400
- Results Interpretation 402
- Optimization with Discrete Integer Decision ...