Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]

• Pubblicazione: Hoboken, New Jersey, : John Wiley, c2007
• Descrizione fisica: 1 online resource (513 p.)
• Disciplina: 332.6
• Soggetto topico: Portfolio management; Robust optimization; Gestió de cartera
• Soggetto genere / forma: Electronic books.; Llibres electrònics
• Altri autori: FabozziFrank J
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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; SUMMARY ; Chapter 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 ; THEORETICAL 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 ; ROBUST 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 ; DYNAMIC 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 ; Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions
• Sommario/riassunto: 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
• Titolo autorizzato: Robust portfolio optimization and management
• ISBN: 1-119-20217-5; 1-280-85552-5; 9786610855520; 0-470-16489-1
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910143433003321
• Lo trovi qui: Univ. Federico II
• Serie: Wiley finance series.; Frank J. Fabozzi series.