Robust Portfolio Optimization and Management Tapa dura - 2007 - 1st Edición
de Frank J. Fabozzi; Petter N. Kolm; Dessislava A. Pachamanova
Resumen
Descripción de contraportada
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
Detalles
- Título Robust Portfolio Optimization and Management
- Autor Frank J. Fabozzi; Petter N. Kolm; Dessislava A. Pachamanova
- Encuadernación Tapa dura
- Número de edición 1st
- Edición 1
- Páginas 512
- Volúmenes 1
- Idioma ENG
- Editorial Wiley
- Fecha de publicación 2007-06-04
- Ilustrado Sí
- ISBN 9780471921226 / 047192122X
- Peso 1.74 libras (0.79 kg)
- Dimensiones 9.1 x 6.38 x 1.53 pulgadas (23.11 x 16.21 x 3.89 cm)
- Library of Congress subjects Portfolio management, Robust optimization
- Dewey Decimal Code 332.6
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