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Fabozzi, Frank J.

Robust Portfolio Optimization and Management

Fabozzi, Frank J. - Robust Portfolio Optimization and Management, e-kirja

83,60€

E-kirja, PDF, Adobe DRM-suojattu
ISBN: 9780470164891
DRM-rajoitukset

Tulostus154 sivua ja lisä sivu kertyy joka 5. tunti, ylärajana 154 sivua
Kopioi leikepöydälle26 poimintoa

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 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."

--John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Avainsanat: BUSINESS & ECONOMICS / Finance BUS027000

Tekijä(t)
 
 
 
Julkaisija
John Wiley and Sons, Inc.
Julkaisuvuosi
2007
Kieli
en
Painos
1
Sivumäärä
512 sivua
Kategoria
Talous
Tiedostomuoto
E-kirja
eISBN (PDF)
9780470164891
Painetun ISBN
9780471921226

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