Robust Portfolio Optimization and Management (by Frank J. Fabozzi, Petter N. Kolm, Sergio M. Focardi, Dessislava Pachamanova)


Author(s): Frank J. Fabozzi, Petter N. Kolm, Sergio M. Focardi, Dessislava Pachamanova

Publisher: Wiley
Publish date: 2007-03
ISBN-10: 047192122X
ISBN-13: 9780471921226
Language: English
Description: 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… more…

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