Robust Portfolio Optimization and Management

TRAMA

A state-of-the-art book that examines new methods for effectively implementing modern portfolio theory <P>Robust Portfolio Optimization and Estimation presents approaches to the implementation of modern portfolio theory that can be used by today&#146; s market participants&#150; from portfolio managers and consultants to hedge fund managers. This book bridges the gap from basic portfolio theory&#150; as set forth by Nobel Prize winner, Harry Markowitz&#150; to effective practical applications. It reviews the methodology of classical mean-variance optimization, and discusses how modern robust methods overcome common pitfalls associated with the classical framework. <P>Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is the Frederick Frank Adjunct Professor of Finance at Yale University&#146; s School of Management. Petter N. Kolm, PhD (New York, NY) is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Dessislava Pachamanova, PhD (Boston, MA) is an Assistant Professor of Operations Research at Babson College. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group.

ALTRE INFORMAZIONI

• Condizione: Nuovo
• ISBN: 9780471921226
• Collana: WILEY FINANCE
• Dimensioni: 237 x 36.06 x 157 mm Ø 906 gr
• Formato: Copertina rigida
• Pagine Arabe: 512