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Robust Portfolio Optimization and Management
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
"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
- GenresFinance
512 pages, Hardcover
First published January 1, 2007
1 person is currently reading
62 people want to read
About the author
Frank J. Fabozzi
377 books118 followersFrank J. Fabozzi is a Professor in the Practice of Finance and Becton Fellow in the Yale School of Management. He is well known as the author of numerous books on finance, both practitioner-focused and academic. Professor Frank J. Fabozzi will be joining Edhec Risk Institute on August 1, 2011. EDHEC-Risk Institute is part of EDHEC Business School, one of Europe’s leading business schools.
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Displaying 1 - 2 of 2 reviews
January 1, 2019
readable, but not useful or practical. Most of this Fabozzi series is academics trying to make a buck.
September 18, 2010
Excellent survey of the academic literature and methods typically used in practice.
Displaying 1 - 2 of 2 reviews