Téléchargez le livre : Robust Portfolio Optimization and Management

Robust Portfolio Optimization and Management

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Éditeur :

Wiley


Paru le : 2007-04-27

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Description
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
Pages
512 pages
Collection
n.c
Parution
2007-04-27
Marque
Wiley
EAN papier
9780471921226
EAN PDF
9780470164891
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
512
Taille du fichier
10711 Ko
Prix
104,44 €

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