TY  - BOOK
AU  - Fabozzi, Frank J.
TI  - Robust portfolio optimization and management
SN  - 978-0-471-92122-6
AV  - HG/4529.5/F33R/2007 
CY  - New Jersey
KW  - Teoría de portafolio
KW  - Optimización
N1  - 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
ER  -