Bøger af Daniel P. Palomar

Provides an in-depth overview of the index tracking problem and analyses all the caveats and practical issues an investor might have. Additionally, it provides a unified framework for a large variety of sparse index tracking formulations.

Explores investment in financial assets treated as a signal processing and optimization problem. The book explores such connections and capitalizes on the existing mathematical tools developed in wireless communications and signal processing to solve real-life problems arising in the financial markets.

Presents a unified mathematical framework for the design of point-to-point MIMO transceivers with channel state information at both sides of the link according to an arbitrary cost function as a measure of the system performance. In addition, the framework embraces the design of systems with given individual performance on the data streams.