Robust Portfolio Optimization and Management
A state-of-the-art book that examines new methods for effectively implementing modern portfolio theory Robust Portfolio Optimization and Estimation presents approaches to the implementation of modern portfolio theory that can be used by today' s market participants- from portfolio managers and consultants to hedge fund managers. This book bridges the gap from basic portfolio theory- as set forth by Nobel Prize winner, Harry Markowitz- 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.…
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Produktdetails
Weitere Autoren: Kolm, Petter N. / Pachamanova, Dessislava
- ISBN: 978-0-471-92122-6
- EAN: 9780471921226
- Produktnummer: 19367809
- Verlag: John Wiley & Sons
- Sprache: Englisch
- Erscheinungsjahr: 2007
- Seitenangabe: 512 S.
- Masse: H23.5 cm x B15.7 cm x D3.4 cm 932 g
- Abbildungen: HC gerader Rücken kaschiert
- Gewicht: 932
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