FABOZZI ROBUST PORTFOLIO OPTIMIZATION AND MANAGEMENT PDF

You are currently using the site but have requested a page in the site. Would you like to change to the site? Frank J. Fabozzi , Petter N. Kolm , Dessislava A. Pachamanova , Sergio M.

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Petter N. He previously worked at Goldman Sachs asset management where he developed quantitative investment models and strategies. Dessislava A. Babson College. Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group. Robust Portfolio Optimization and Management. Frank J. Fabozzi , Petter N. Kolm , Dessislava A. Pachamanova , Sergio M. 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. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book.

The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike. Kolm , Dessislava Pachamanova , Sergio M. Fabozzi series Wiley Finance.

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Robust Portfolio Optimization and Management

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