Robust Portfolio Optimization and Management by Frank J. Fabozzi

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

Price: 143 AUD

Location: Hillsdale, NSW

End Time: 2024-11-17T03:11:08.000Z

Shipping Cost: 32.92 AUD

Product Images

Item Specifics

Return shipping will be paid by: Buyer

Returns Accepted: Returns Accepted

Item must be returned within: 60 Days

Return policy details:

EAN: 9780471921226

UPC: 9780471921226

ISBN: 9780471921226

MPN: N/A

Item Length: 23.1 cm

Number of Pages: 496 Pages

Language: English

Publication Name: Robust Portfolio Optimization and Management

Publisher: John Wiley & Sons Inc

Publication Year: 2007

Subject: Finance

Item Height: 237 mm

Item Weight: 906 g

Type: Textbook

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

Item Width: 157 mm

Format: Hardcover