Authors:Frank J. Fabozzi, Petter N. Kolm, Dessislava Pachama
Publisher: Wiley
Keywords: fabozzi, series, frank, management, portfolio, optimization, robust
Number of Pages: 495
Published: 2007-03
List price: $95.00
ISBN-10: 047192122X
ISBN-13: 9780471921226

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 op

Authors:Dessislava Pachamanova, Frank J. Fabozzi CFA,
Publisher: Wiley
Keywords: vba, frank, fabozzi, series, @risk, matlab, optimization, finance, website, modeling, simulation
Number of Pages: 784
Published: 2010-10-05
List price: $125.00
ISBN-10: 0470371897
ISBN-13: 9780470371893

An introduction to the theory and practice of financial simulation and optimization In recent years, there has been a notable increase in the use of simulation and optimization methods in the financial industry. Applications include portfolio allocation, risk management, pricing, and capital budgeting under uncertainty. This accessible guide provides an introduction to the simulation and optimization techniques most widely used in finance, while at the same time offering background on the financial concepts in these applications. In addition, it clarifies difficult concepts in tr