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Books:
- Robust Portfolio Optimization and Management
by F. Fabozzi, P. Kolm, D.
Pachamanova and S. Focardi (J. Wiley & Sons, 2007) brings together concepts
from finance, economic theory, robust statistics, econometrics, and robust
optimization, and illustrates that they are part of the same theoretical and
practical environment-in a way that even a non-specialized audience can
understand and appreciate. The book emphasizes a practical treatment of the
subject, and translates complex concepts into real-world applications for
robust return forecasting and asset allocation optimization. The authors
address a number of issues in portfolio allocation and rebalancing. In
particular, they discuss how to make portfolio management robust with
respect to model risk, long-term views of the market, and market frictions
such as trading costs.
The themes in the book - along with the numerous examples of applications
and sample computer code - would be of interest to practitioners and
analysts who have to develop and use portfolio management applications on a
daily basis. At the same time, the topics are addressed in a theoretically
rigorous way and references to the original works are provided, so the book
should be of interest to academics, students, and researchers who need an
updated and integrated view of the theory and practice of portfolio
management.
Robust Portfolio Optimization and Management is available from
bookstores, from online booksellers such as Amazon, and from the
publisher's website.
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Book Chapters:
- "Monte Carlo Simulation in Finance," Handbook of Finance, Vol. 3, Frank Fabozzi (ed.), J. Wiley & Sons, 2008
- "Robust Portfolio Optimization" (with P. Kolm, F. Fabozzi, and S.
Focardi), Handbook of Finance, Vol. 3, Frank Fabozzi (ed.), J. Wiley & Sons,
2008
- "Quantitative Investment Management Today and Tomorrow" (with P.
Kolm, F. Fabozzi, and S. Focardi), Handbook of Finance, Vol. 3, Frank Fabozzi (ed.), J. Wiley & Sons, 2008
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