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    Robust Portfolio Optimization and Management
    Robust Portfolio Optimization and Management
    Robust Portfolio Optimization and Management
    Ebook442 pages10 hours

    Robust Portfolio Optimization and Management

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

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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
    LanguageEnglish
    PublisherWiley
    Release dateAug 10, 2007
    ISBN9780470164891
    Robust Portfolio Optimization and Management
    Author

    Frank J. Fabozzi

    Frank J. Fabozzi is a professor of finance at EDHEC Business School (Nice, France) and a senior scientific adviser at the EDHEC-Risk Institute. He taught at Yale's School of Management for 17 years and served as a visiting professor at MIT's Sloan School of Management and Princeton University's Department of Operations Research and Financial Engineering. Professor Fabozzi is the editor of The Journal of Portfolio Management and an associate editor of several journals, including Quantitative Finance. The author of numerous numerous books and articles on quantitative finance, he holds a doctorate in economics from The Graduate Center of the City University of New York.

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