Robust Portfolio Optimization and Estimation Techniques
Fabozzi, Frank J.; Kolm, Petter N.; Pachamanova, Dessislava A.; Focardi, Sergio M.
Language: English
Published by Wiley, 2007
- Hardcover
- Used
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- Title
- Robust Portfolio Optimization and Estimation Techniques
- Author
- Fabozzi, Frank J.; Kolm, Petter N.; Pachamanova, Dessislava A.; Focardi, Sergio M.
- Publisher
- Wiley
- Publication year
- 2007
- Condition
- As New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 047192122X
- ISBN 13
- 9780471921226
"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
"Synopsis" may belong to another edition of this title.
About the Author
Petter N. Kolm, PhD, is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. He previously worked at Goldman Sachs asset management where he developed quantitative investment models and strategies.
Dessislava A. Pachamanova, PhD, is an Assistant Professor of Operations Research at?Babson College. Her experience also includes work for Goldman Sachs and WestLB, and teaching management science, probability, statistics, and financial mathematics at MIT and Princeton University.
Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group.
"About the title" may belong to another edition of this title.
GreatBookPrices
Columbia, MD, U.S.A.
AbeBooks seller since April 6, 2009
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