Robust Portfolio Optimization and Management

Robust Portfolio Optimization and Management

AngličtinaPevná vazba
Fabozzi Frank J.
John Wiley & Sons Inc
EAN: 9780471921226
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Podrobné informace

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
EAN 9780471921226
ISBN 047192122X
Typ produktu Pevná vazba
Vydavatel John Wiley & Sons Inc
Datum vydání 19. června 2007
Stránky 512
Jazyk English
Rozměry 233 x 162 x 40
Země United States
Autoři Fabozzi Frank J.; Focardi Sergio M.; Kolm Petter N.; Pachamanova Dessislava A.