05660nam 2200769 a 450 991102011080332120241009122416.09786610855520978111920217211192021759781280855528128085552597804701648910470164891(CKB)1000000000354460(EBL)292452(OCoLC)156235801(SSID)ssj0000239027(PQKBManifestationID)12049293(PQKBTitleCode)TC0000239027(PQKBWorkID)10235325(PQKB)11388406(MiAaPQ)EBC292452(FR-PaCSA)88944637(FRCYB88944637)88944637(Perlego)2774282(EXLCZ)99100000000035446020070801d2007 uy 0engur|n|---|||||txtccrRobust portfolio optimization and management /Frank J. Fabozzi ... [et al.]Hoboken, New Jersey John Wileyc20071 online resource (513 p.)Frank J. Fabozzi seriesWiley financeDescription based upon print version of record.9780471921226 047192122X Includes bibliographical references and index.Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; THE BENEFITS OF DIVERSIFICATION; MEAN-VARIANCE ANALYSIS: OVERVIEW; CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION; THE CAPITAL MARKET LINE; SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARYChapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION AND DOWNSIDE MEASURES; PORTFOLIO SELECTION WITH HIGHER MOMENTS THROUGH EXPANSIONS OF UTILITY; POLYNOMIAL GOAL PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH HIGHER MOMENTS; SOME REMARKS ON THE ESTIMATION OF HIGHER MOMENTS; THE APPROACH OF MALEVERGNE AND SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONSTHEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICSROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMINGDYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARYChapter 13: The Practice of Robust Portfolio Management: Recent Trends and New DirectionsPraise 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 robustWiley finance series.Frank J. Fabozzi series.Portfolio managementRobust optimizationGestió de carterathubLlibres electrònicsthubPortfolio management.Robust optimization.Gestió de cartera332.6Fabozzi Frank J109596MiAaPQMiAaPQMiAaPQBOOK9911020110803321Robust portfolio optimization and management4422882UNINA