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 ...

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