Robust Portfolio Optimization and Management
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
"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
ISBN/UPC:
9780471921226
Product:
Book, Hardcover
Title:
Robust Portfolio Optimization and Management
Series:
Contributors
Publisher:
Wiley, 2007
Pages:
495
Language:
English
Categories
Specification:
9.1 x 6.4 x 1.5 inches, 2 pounds
| Acceptable: | Fairly worn but fully readable and intact. Pages may include notes, highlighting, or minor water damage. Dust jacket, CDs, product codes, or other inclusions may be missing or expired. |
| Good: | Shows signs of wear. Pages may include limited notes or highlighting. Dust jacket, CDs, product codes, or other inclusions may be missing or expired. |
| Very Good: | Item has seen limited use and has minimal signs of wear. Pages are clean without markings. Dust jacket, CDs, product codes, or other inclusions may be missing or expired. |
| Like New: | Shows little to no signs of wear. Spine has no signs of creasing. Pages are clean without markings. CDs, product codes, or other inclusions may be missing or expired. |