LEADER 05504nam 2200697 a 450 001 9910143433003321 005 20220422092902.0 010 $a1-119-20217-5 010 $a1-280-85552-5 010 $a9786610855520 010 $a0-470-16489-1 035 $a(CKB)1000000000354460 035 $a(EBL)292452 035 $a(OCoLC)156235801 035 $a(SSID)ssj0000239027 035 $a(PQKBManifestationID)12049293 035 $a(PQKBTitleCode)TC0000239027 035 $a(PQKBWorkID)10235325 035 $a(PQKB)11388406 035 $a(MiAaPQ)EBC292452 035 $a(EXLCZ)991000000000354460 100 $a20070801d2007 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aRobust portfolio optimization and management$b[electronic resource] /$fFrank J. Fabozzi ... [et al.] 210 $aHoboken, New Jersey $cJohn Wiley$dc2007 215 $a1 online resource (513 p.) 225 1 $aFrank J. Fabozzi series 225 1 $aWiley finance 300 $aDescription based upon print version of record. 311 $a0-471-92122-X 320 $aIncludes bibliographical references and index. 327 $aRobust 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; SUMMARY 327 $aChapter 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; DEFINITIONS 327 $aTHEORETICAL 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 STATISTICS 327 $aROBUST 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 PROGRAMMING 327 $aDYNAMIC 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; SUMMARY 327 $aChapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions 330 $aPraise for Robust Portfolio Optimization and Management""In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction.""--Mark Kritzman, President and CEO, Windham Capital Management, LLC""The topic of robust 410 0$aWiley finance series. 410 0$aFrank J. Fabozzi series. 606 $aPortfolio management 606 $aRobust optimization 606 $aGestió de cartera$2thub 608 $aElectronic books. 608 $aLlibres electrònics$2thub 615 0$aPortfolio management. 615 0$aRobust optimization. 615 7$aGestió de cartera 676 $a332.6 701 $aFabozzi$b Frank J$0109596 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910143433003321 996 $aRobust portfolio optimization and management$92127839 997 $aUNINA