Robust portfolio optimization and management
Frank J. Fabozzi ... y otros.
- xvi, 495 páginas ilustrado 24 cm.
- Frank J. Fabozzi series [Wiley finance] .
- Wiley finance series Frank J. Fabozzi series .
Incluye referencias bibliográficas e índice.
Introduction -- Portfolio allocation : classical theory and extensions -- Mean-variance analysis and modern portfolio theory -- Advances in the theory of portfolio risk measures -- Portfolio selection in practice -- Robust parameter estimation -- Classical asset pricing -- Forecasting expected return and risk -- Robust estimation -- Robust frameworks for estimation : shrinkage, Bayesian approaches, and the Black-Litterman model -- Optimization techniques -- Mathematical and numerical optimization -- Optimization under uncertainty -- Implementing and solving optimization problems in practice -- Robust portfolio optimization -- Robust modeling of uncertain parameters in classical mean-variance portfolio optimization -- The practice of robust portfolio management : recent trends and new directions -- Quantitative investment management today and tomorrow -- Data description : the MSCI world index. Ch. 1. Pt. 1. Ch. 2. Ch. 3. Ch. 4. Pt. 2. Ch. 5. Ch. 6. Ch. 7. Ch. 8. Pt. 3. Ch. 9. Ch. 10. Ch. 11. Pt. 4. Ch. 12. Ch. 13. Ch. 14. App. A.
9780471921226
Portfolio management
Robust optimization.
Optimización robusta (teoría de la decisión)
Administración de cartera (finanzas)
332.632 / R667r
Incluye referencias bibliográficas e índice.
Introduction -- Portfolio allocation : classical theory and extensions -- Mean-variance analysis and modern portfolio theory -- Advances in the theory of portfolio risk measures -- Portfolio selection in practice -- Robust parameter estimation -- Classical asset pricing -- Forecasting expected return and risk -- Robust estimation -- Robust frameworks for estimation : shrinkage, Bayesian approaches, and the Black-Litterman model -- Optimization techniques -- Mathematical and numerical optimization -- Optimization under uncertainty -- Implementing and solving optimization problems in practice -- Robust portfolio optimization -- Robust modeling of uncertain parameters in classical mean-variance portfolio optimization -- The practice of robust portfolio management : recent trends and new directions -- Quantitative investment management today and tomorrow -- Data description : the MSCI world index. Ch. 1. Pt. 1. Ch. 2. Ch. 3. Ch. 4. Pt. 2. Ch. 5. Ch. 6. Ch. 7. Ch. 8. Pt. 3. Ch. 9. Ch. 10. Ch. 11. Pt. 4. Ch. 12. Ch. 13. Ch. 14. App. A.
9780471921226
Portfolio management
Robust optimization.
Optimización robusta (teoría de la decisión)
Administración de cartera (finanzas)
332.632 / R667r