Robust Portfolio Optimization and Management
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Robust Portfolio Optimization and Management by Frank J. Fabozzi
Book DescriptionPraise 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
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Book DetailsISBN: 9780471921226
(232mm x 162mm x 36mm)
Imprint: John Wiley & Sons Inc
Publisher: John Wiley and Sons Ltd
Publish Date: 19-Jun-2007
Country of Publication: United States
Books By Author Frank J. Fabozzi
Fractional Calculus and Fractional Processes with Applications to Financial Economics, Hardback (October 2016)
Handbook of Mortgage-Backed Securities, Hardback (August 2016)
This edition, revised since the subprime mortgage crisis, is designed to provide not only the fundamentals of mortgage-backed securities and the investment characteristics that make them attractive to a broad range of investors, but also extensive coverage of state-of-the-art strategies for capitalizing on the opportunities in this market.
Portfolio Construction and Analytics, Hardback (May 2016)
A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike.
Investing in Mortgage-Backed and Asset-Backed Securities, Hardback (February 2016)» View all books by Frank J. Fabozzi
A complete guide to investing in and managing a portfolio of mortgage- and asset-backed securities Mortgage- and asset-backed securities are not as complex as they might seem.
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Author Biography - Frank J. Fabozzi
Frank J. Fabozzi, PhD, CFA, is Professor in the Practice of Finance at Yale University's School of Management and the Editor of the Journal of Portfolio Management. 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.
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