| Robust Portfolio Optimization and Management Contributor(s): Fabozzi, Frank J. (Author), Kolm, Petter N. (Author), Pachamanova, Dessislava A. (Author) |
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ISBN: 047192122X ISBN-13: 9780471921226 Publisher: Wiley OUR PRICE: $103.50 Product Type: Hardcover - Other Formats Published: June 2007 Annotation: Praise for "Robust Portfolio Optimization and Management" "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General |
| Dewey: 332.6 |
| Series: Frank J. Fabozzi |
| Physical Information: 1.53" H x 6.38" W x 9.1" (1.74 lbs) 512 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Praise for Robust Portfolio Optimization and Management In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction. --Mark Kritzman, President and CEO, Windham Capital Management, LLC The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike. --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University |