Robust Portfolio Optimization and Management
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Beschreibung
Praise for Robust Portfolio Optimization and Management
"In the half century since Harry Markowitz introduced his eleganttheory for selecting portfolios, investors and scholars haveextended and refined its application to a wide range of real-worldproblems, culminating in the contents of this masterful book.Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise forproducing a technically rigorous yet remarkably accessible guide tothe latest advances in portfolio construction."
--Mark Kritzman, President and CEO, Windham Capital Management,LLC
"The topic of robust optimization (RO) has become 'hot' over thepast several years, especially in real-world financialapplications. This interest has been sparked, in part, bypractitioners who implemented classical portfolio models for assetallocation without considering estimation and model robustness apart of their overall allocation methodology, and experienced poorperformance. Anyone interested in these developments ought to own acopy of this book. The authors cover the recent developments of theRO area in an intuitive, easy-to-read manner, provide numerousexamples, and discuss practical considerations. I highly recommendthis book to finance professionals and students alike."
--John M. Mulvey, Professor of Operations Research and FinancialEngineering, Princeton University
Autor*in
Frank J. Fabozzi
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