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Robust Portfolio Optimization and Management

Robust Portfolio Optimization and Management

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  • ISBN:9780471921226
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:496
  • Idiomas:Ingles

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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

Ch. 1 Introduction 1
Pt. 1 Portfolio allocation : classical theory and extensions 15
Ch. 2 Mean-variance analysis and modern portfolio theory 17
Ch. 3 Advances in the theory of portfolio risk measures 53
Ch. 4 Portfolio selection in practice 87
Pt. 2 Robust parameter estimation 113
Ch. 5 Classical asset pricing 115
Ch. 6 Forecasting expected return and risk 139
Ch. 7 Robust estimation 179
Ch. 8 Robust frameworks for estimation : shrinkage, Bayesian approaches, and the Black-Litterman model 207
Pt. 3 Optimization techniques 255
Ch. 9 Mathematical and numerical optimization 257
Ch. 10 Optimization under uncertainty 291
Ch. 11 Implementing and solving optimization problems in practice 333
Pt. 4 Robust portfolio optimization 361
Ch. 12 Robust modeling of uncertain parameters in classical mean-variance portfolio optimization 363
Ch. 13 The practice of robust portfolio management : recent trends and new directions 395
Ch. 14 Quantitative investment management today and tomorrow 439
App. A Data description : the MSCI world index 463

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