Biblioteca Univ. Surcolombiana

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Robust portfolio optimization and management Frank J. Fabozzi ... y otros.

Contributor(s): Fabozzi, Frank J | Kolm, Petter N | Pachamanova, Dessislava A | Focardi, Sergio M.
Series: Wiley finance series: ; Frank J. Fabozzi series: Hoboken, New Jersey John Wiley ©2007Description: xvi, 495 páginas ilustrado 24 cm.ISBN: 9780471921226.Subject(s): Portfolio management | Robust optimization | Optimización robusta (teoría de la decisión) | Administración de cartera (finanzas)DDC classification: 332.632
Contents:
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.
List(s) this item appears in: Economia
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Item type Current location Collection Call number Copy number Status Date due Barcode Item holds
Libros Libros Biblioteca Central
General 332.632 / R667r (Browse shelf) Ej.1 Available 8000022228
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Incluye referencias bibliográficas e índice.

Ch. 1. Introduction -- Pt. 1. Portfolio allocation : classical theory and extensions -- Ch. 2. Mean-variance analysis and modern portfolio theory -- Ch. 3. Advances in the theory of portfolio risk measures -- Ch. 4. Portfolio selection in practice -- Pt. 2. Robust parameter estimation -- Ch. 5. Classical asset pricing -- Ch. 6. Forecasting expected return and risk -- Ch. 7. Robust estimation -- Ch. 8. Robust frameworks for estimation : shrinkage, Bayesian approaches, and the Black-Litterman model -- Pt. 3. Optimization techniques -- Ch. 9. Mathematical and numerical optimization -- Ch. 10. Optimization under uncertainty -- Ch. 11. Implementing and solving optimization problems in practice -- Pt. 4. Robust portfolio optimization -- Ch. 12. Robust modeling of uncertain parameters in classical mean-variance portfolio optimization -- Ch. 13. The practice of robust portfolio management : recent trends and new directions -- Ch. 14. Quantitative investment management today and tomorrow -- App. A. Data description : the MSCI world index.

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