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Robust portfolio optimization and management

By: Fabozzi, Frank JMaterial type: TextTextOriginal language: Spanish Publisher: New Jersey ; John Wiley ; 2007Description: 495 pISBN: 978-0-471-92122-6Subject(s): Teoría de portafolio | OptimizaciónLOC classification: HG/4529.5/F33R/2007
Contents:
Contiene: 1. Introduction.- 2. Mean-variance analysis and modern portfolio theory.- 3. Advances in the theory of portfolio risk measures.- 4. Portfolio selection in practice.- 5. Classical asset pricing.- 6. Forecasting expected return and risk.- 7. Robust estimation.- 8. Robust frameworks for estimation: shirnkage, bayesian approaches, and black-litterman model.- 9. Mathematical and numerical optimization.- 10. Optimization under uncertainty.- 11. Implementing and solving optimization problems in practice.- 12. Robust modeling of uncertain paramenters in classical mean- variance portfolio optimization.- 13. The practice of robust portfolio management: recent trends and new directions.- 14 . Quantitative investment management today and tomorrow.
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Libros Libros Biblioteca de la Superintendencia del Mercado de Valores - SMV
HG/4529.5/F33R/2007 (Browse shelf) Available 00002707

Contiene: 1. Introduction.- 2. Mean-variance analysis and modern portfolio theory.- 3. Advances in the theory of portfolio risk measures.- 4. Portfolio selection in practice.- 5. Classical asset pricing.- 6. Forecasting expected return and risk.- 7. Robust estimation.- 8. Robust frameworks for estimation: shirnkage, bayesian approaches, and black-litterman model.- 9. Mathematical and numerical optimization.- 10. Optimization under uncertainty.- 11. Implementing and solving optimization problems in practice.- 12. Robust modeling of uncertain paramenters in classical mean- variance portfolio optimization.- 13. The practice of robust portfolio management: recent trends and new directions.- 14 . Quantitative investment management today and tomorrow.

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