Frank J Fabozzi, Petter N Kolm, Dessislava A Pachamanova, Sergio M Focardi

Robust Portfolio Optimization and Management

• Gebundenes Buch

Produktbeschreibung

A state-of-the-art book that examines new methods for effectively implementing modern portfolio theory Robust Portfolio Optimization and Estimation presents approaches to the implementation of modern portfolio theory that can be used by today' s market participants- from portfolio managers and consultants to hedge fund managers. This book bridges the gap from basic portfolio theory- as set forth by Nobel Prize winner, Harry Markowitz- to effective practical applications. It reviews the methodology of classical mean-variance optimization, and discusses how modern robust methods overcome common pitfalls associated with the classical framework. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is the Frederick Frank Adjunct Professor of Finance at Yale University' s School of Management. Petter N. Kolm, PhD (New York, NY) is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Dessislava Pachamanova, PhD (Boston, MA) is an Assistant Professor of Operations Research at Babson College. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group.

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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

Produktdetails

• Verlag: Wiley
• Seitenzahl: 512
• Erscheinungstermin: 4. Juni 2007
• Englisch
• Abmessung: 235mm x 157mm x 32mm
• Gewicht: 887g
• ISBN-13: 9780471921226
• ISBN-10: 047192122X
• Artikelnr.: 21538650

Autorenporträt

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.