{"product_id":"robust-portfolio-optimization-and-management-isbn-9780471921226","title":"Robust Portfolio Optimization and Management","description":"Praise for Robust Portfolio Optimization and Management\u003cbr\u003e \u003cbr\u003e \"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.\"\u003cbr\u003e --Mark Kritzman, President and CEO, Windham Capital Management, LLC\u003cbr\u003e \u003cbr\u003e \"The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike.\"\u003cbr\u003e --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University \u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAbout the Authors xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIntroduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eQuantitative Techniques in the Investment Management Industry 1\u003c\/p\u003e \u003cp\u003eCentral Themes of This Book 9\u003c\/p\u003e \u003cp\u003eOverview of This Book 12\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One Portfolio Allocation: Classical Theory and Extensions 15\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eMean-Variance Analysis and Modern Portfolio Theory 17\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Benefits of Diversification 18\u003c\/p\u003e \u003cp\u003eMean-Variance Analysis: Overview 21\u003c\/p\u003e \u003cp\u003eClassical Framework for Mean-Variance Optimization 24\u003c\/p\u003e \u003cp\u003eThe Capital Market Line 35\u003c\/p\u003e \u003cp\u003eSelection of the Optimal Portfolio When There Is a Risk-Free Asset 41\u003c\/p\u003e \u003cp\u003eMore on Utility Functions: A General Framework for Portfolio Choice 45\u003c\/p\u003e \u003cp\u003eSummary 50\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAdvances in the Theory of Portfolio Risk Measures 53\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDispersion and Downside Measures 54\u003c\/p\u003e \u003cp\u003ePortfolio Selection with Higher Moments through Expansions of Utility 70\u003c\/p\u003e \u003cp\u003ePolynomial Goal Programming for Portfolio Optimization with Higher Moments 78\u003c\/p\u003e \u003cp\u003eSome Remarks on the Estimation of Higher Moments 80\u003c\/p\u003e \u003cp\u003eThe Approach of Malevergne and Sornette 81\u003c\/p\u003e \u003cp\u003eSummary 86\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePortfolio Selection in Practice 87\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePortfolio Constraints Commonly Used in Practice 88\u003c\/p\u003e \u003cp\u003eIncorporating Transaction Costs in Asset-Allocation Models 101\u003c\/p\u003e \u003cp\u003eMultiaccount Optimization 106\u003c\/p\u003e \u003cp\u003eSummary 111\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Robust Parameter Estimation 113\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eClassical Asset Pricing 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefinitions 115\u003c\/p\u003e \u003cp\u003eTheoretical and Econometric Models 117\u003c\/p\u003e \u003cp\u003eRandom Walk Models 118\u003c\/p\u003e \u003cp\u003eGeneral Equilibrium Theories 131\u003c\/p\u003e \u003cp\u003eCapital Asset Pricing Model (CAPM) 132\u003c\/p\u003e \u003cp\u003eArbitrage Pricing Theory (APT) 136\u003c\/p\u003e \u003cp\u003eSummary 137\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eForecasting Expected Return and Risk 139\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDividend Discount and Residual Income Valuation Models 140\u003c\/p\u003e \u003cp\u003eThe Sample Mean and Covariance Estimators 146\u003c\/p\u003e \u003cp\u003eRandom Matrices 157\u003c\/p\u003e \u003cp\u003eArbitrage Pricing Theory and Factor Models 160\u003c\/p\u003e \u003cp\u003eFactor Models in Practice 168\u003c\/p\u003e \u003cp\u003eOther Approaches to Volatility Estimation 172\u003c\/p\u003e \u003cp\u003eApplication to Investment Strategies and Proprietary Trading 176\u003c\/p\u003e \u003cp\u003eSummary 177\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eRobust Estimation 179\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Intuition behind Robust Statistics 179\u003c\/p\u003e \u003cp\u003eRobust Statistics 181\u003c\/p\u003e \u003cp\u003eRobust Estimators of Regressions 192\u003c\/p\u003e \u003cp\u003eConfidence Intervals 200\u003c\/p\u003e \u003cp\u003eSummary 206\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eRobust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model 207\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePractical Problems Encountered in Mean-Variance Optimization 208\u003c\/p\u003e \u003cp\u003eShrinkage Estimation 215\u003c\/p\u003e \u003cp\u003eBayesian Approaches 229\u003c\/p\u003e \u003cp\u003eSummary 253\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three Optimization Techniques 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eMathematical and Numerical Optimization 257\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMathematical Programming 258\u003c\/p\u003e \u003cp\u003eNecessary Conditions for Optimality for Continuous Optimization Problems 267\u003c\/p\u003e \u003cp\u003eOptimization Duality Theory 269\u003c\/p\u003e \u003cp\u003eHow Do Optimization Algorithms Work? 272\u003c\/p\u003e \u003cp\u003eSummary 288\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eOptimization under Uncertainty 291\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStochastic Programming 293\u003c\/p\u003e \u003cp\u003eDynamic Programming 308\u003c\/p\u003e \u003cp\u003eRobust Optimization 312\u003c\/p\u003e \u003cp\u003eSummary 332\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eImplementing and Solving Optimization Problems in Practice 333\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOptimization Software 333\u003c\/p\u003e \u003cp\u003ePractical Considerations When Using Optimization Software 340\u003c\/p\u003e \u003cp\u003eImplementation Examples 346\u003c\/p\u003e \u003cp\u003eSpecialized Software for Optimization Under Uncertainty 358\u003c\/p\u003e \u003cp\u003eSummary 360\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Four Robust Portfolio Optimization 361\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eRobust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization 363\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePortfolio Resampling Techniques 364\u003c\/p\u003e \u003cp\u003eRobust Portfolio Allocation 367\u003c\/p\u003e \u003cp\u003eSome Practical Remarks on Robust Portfolio Allocation Models 392\u003c\/p\u003e \u003cp\u003eSummary 393\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eThe Practice of Robust Portfolio Management: Recent Trends and New Directions 395\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSome Issues in Robust Asset Allocation 396\u003c\/p\u003e \u003cp\u003ePortfolio Rebalancing 410\u003c\/p\u003e \u003cp\u003eUnderstanding and Modeling Transaction Costs 413\u003c\/p\u003e \u003cp\u003eRebalancing Using an Optimizer 422\u003c\/p\u003e \u003cp\u003eSummary 435\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eQuantitative Investment Management Today and Tomorrow 439\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eUsing Derivatives in Portfolio Management 440\u003c\/p\u003e \u003cp\u003eCurrency Management 442\u003c\/p\u003e \u003cp\u003eBenchmarks 445\u003c\/p\u003e \u003cp\u003eQuantitative Return-Forecasting Techniques and Model-Based Trading Strategies 447\u003c\/p\u003e \u003cp\u003eTrade Execution and Algorithmic Trading 456\u003c\/p\u003e \u003cp\u003eSummary 460\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A Data Description: The MSCI World Index 463\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIndex 473\u003c\/p\u003e  \u003cb\u003eFrank J. Fabozzi\u003c\/b\u003e, PhD, CFA, is Professor in the Practice of Finance at Yale University's School of Management and the Editor of the Journal of Portfolio Management.  \u003cp\u003e\u003cb\u003ePetter N. Kolm\u003c\/b\u003e, PhD, is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. He previously worked at Goldman Sachs asset management where he developed quantitative investment models and strategies.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eDessislava A. Pachamanova\u003c\/b\u003e, PhD, is an Assistant Professor of Operations Research at?Babson College. Her experience also includes work for Goldman Sachs and WestLB, and teaching management science, probability, statistics, and financial mathematics at MIT and Princeton University.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSergio M. Focardi\u003c\/b\u003e is a founding partner of the Paris-based consulting firm, The Intertek Group.\u003c\/p\u003e  \u003cb\u003ePraise for \u003ci\u003eRobust Portfolio Optimization and Management\u003c\/i\u003e\u003c\/b\u003e  \u003cp\u003e\"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.\"\u003cbr\u003e —Mark Kritzman, President and CEO, Windham Capital Management, LLC\u003c\/p\u003e \u003cp\u003e\"The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike.\"\u003cbr\u003e —John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989970469093,"sku":"NP9780471921226","price":115.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471921226.jpg?v=1761786074","url":"https:\/\/k12savings.com\/products\/robust-portfolio-optimization-and-management-isbn-9780471921226","provider":"K12savings","version":"1.0","type":"link"}