Picture 1 of 1
Frank J. Fabozzi Dessislava A. Pac Robust Portfolio Optim (Hardback) (UK IMPORT)
Another great item from Rarewaves | Free delivery!
Condition:
6 available
Shipping:
Located in: GU14 0GT, United Kingdom
Delivery:
Varies
Returns:
Payments:
Shop with confidence
Seller information
- 98.4% positive feedback
Registered as a Business Seller
Seller assumes all responsibility for this listing.
eBay item number:395141331339
Item specifics
- Condition
- Book Title
- Robust Portfolio Optimization and Management
- Publication Name
- Robust Portfolio Optimization and Management
- Title
- Robust Portfolio Optimization and Management
- Format
- Hardcover
- EAN
- 9780471921226
- ISBN
- 9780471921226
- Publisher
- Wiley & Sons, Incorporated, John
- Genre
- Business & Economics
- Release Year
- 2007
- Release Date
- 19/06/2007
- Language
- English
- Country/Region of Manufacture
- US
- Item Height
- 1.6in
- Item Length
- 9.2in
- Item Width
- 6.4in
- Item Weight
- 28 Oz
- Publication Year
- 2007
- Topic
- Investments & Securities / Portfolio Management, Finance / General
- Number of Pages
- 512 Pages
About this product
Product Information
A state-of-the-art book that examines new methods for effectively implementing modern portfolio theory Robust Portfolio Optimization and Estimation presents approaches to the implementation of modern portfolio theory that can be used by today' s market participants- from portfolio managers and consultants to hedge fund managers. This book bridges the gap from basic portfolio theory- as set forth by Nobel Prize winner, Harry Markowitz- to effective practical applications. It reviews the methodology of classical mean-variance optimization, and discusses how modern robust methods overcome common pitfalls associated with the classical framework. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is the Frederick Frank Adjunct Professor of Finance at Yale University' s School of Management. Petter N. Kolm, PhD (New York, NY) is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Dessislava Pachamanova, PhD (Boston, MA) is an Assistant Professor of Operations Research at Babson College. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group.
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
047192122x
ISBN-13
9780471921226
eBay Product ID (ePID)
4038278058
Product Key Features
Book Title
Robust Portfolio Optimization and Management
Format
Hardcover
Language
English
Topic
Investments & Securities / Portfolio Management, Finance / General
Publication Year
2007
Genre
Business & Economics
Number of Pages
512 Pages
Dimensions
Item Length
9.2in
Item Height
1.6in
Item Width
6.4in
Item Weight
28 Oz
Additional Product Features
Table of Content
Preface xi About the Authors xv Chapter 1 Introduction 1 Quantitative Techniques in the Investment Management Industry 1 Central Themes of This Book 9 Overview of This Book 12 Part One Portfolio Allocation: Classical Theory and Extensions 15 Chapter 2 Mean-Variance Analysis and Modern Portfolio Theory 17 The Benefits of Diversification 18 Mean-Variance Analysis: Overview 21 Classical Framework for Mean-Variance Optimization 24 The Capital Market Line 35 Selection of the Optimal Portfolio When There Is a Risk-Free Asset 41 More on Utility Functions: A General Framework for Portfolio Choice 45 Summary 50 Chapter 3 Advances in the Theory of Portfolio Risk Measures 53 Dispersion and Downside Measures 54 Portfolio Selection with Higher Moments through Expansions of Utility 70 Polynomial Goal Programming for Portfolio Optimization with Higher Moments 78 Some Remarks on the Estimation of Higher Moments 80 The Approach of Malevergne and Sornette 81 Summary 86 Chapter 4 Portfolio Selection in Practice 87 Portfolio Constraints Commonly Used in Practice 88 Incorporating Transaction Costs in Asset-Allocation Models 101 Multiaccount Optimization 106 Summary 111 Part Two Robust Parameter Estimation 113 Chapter 5 Classical Asset Pricing 115 Definitions 115 Theoretical and Econometric Models 117 Random Walk Models 118 General Equilibrium Theories 131 Capital Asset Pricing Model (CAPM) 132 Arbitrage Pricing Theory (APT) 136 Summary 137 Chapter 6 Forecasting Expected Return and Risk 139 Dividend Discount and Residual Income Valuation Models 140 The Sample Mean and Covariance Estimators 146 Random Matrices 157 Arbitrage Pricing Theory and Factor Models 160 Factor Models in Practice 168 Other Approaches to Volatility Estimation 172 Application to Investment Strategies and Proprietary Trading 176 Summary 177 Chapter 7 Robust Estimation 179 The Intuition behind Robust Statistics 179 Robust Statistics 181 Robust Estimators of Regressions 192 Confidence Intervals 200 Summary 206 Chapter 8 Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model 207 Practical Problems Encountered in Mean-Variance Optimization 208 Shrinkage Estimation 215 Bayesian Approaches 229 Summary 253 Part Three Optimization Techniques 255 Chapter 9 Mathematical and Numerical Optimization 257 Mathematical Programming 258 Necessary Conditions for Optimality for Continuous Optimization Problems 267 Optimization Duality Theory 269 How Do Optimization Algorithms Work? 272 Summary 288 Chapter 10 Optimization under Uncertainty 291 Stochastic Programming 293 Dynamic Programming 308 Robust Optimization 312 Summary 332 Chapter 11 Implementing and Solving Optimization Problems in Practice 333 Optimization Software 333 Practical Considerations When Using Optimization Software 340 Implementation Examples 346 Specialized Software for Optimization Under Uncertainty 358 Summary 360 Part Four Robust Portfolio Optimization 361 Chapter 12 Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization 363 Portfolio Resampling Techniques 364 Robust Portfolio Allocation 367 Some Practical Remarks on Robust Portfolio Allocation Models 392 Summary 393 Chapter 13 The Practice of Robust Portfolio Management: Recent Trends and New Directions 395 Some Issues in Robust Asset Allocation 396 Portfolio Rebalancing 410 Understanding and Modeling Transaction Costs 413 Rebalancing Using an Optimizer 422 Summary 435 Chapter 14 Quantitative Investment Management Today and Tomorrow 439 Using Derivatives in Portfolio Management 440 Currency Management 442 Benchmarks 445 Quantitative Return-Forecasting Techniques and Model-Based Trading Strategies 447 Trade Execution and Algorithmic Trading 456 Summary 460 Appendix A Data Description: The MSCI World Index 463 Index 473
Copyright Date
2007
Dewey Decimal
332.6015196
Intended Audience
Trade
Dewey Edition
22
Illustrated
Yes
Item description from the seller
Business seller information
Value Added Tax Number:
- GB 864 1548 11
Seller assumes all responsibility for this listing.
eBay item number:395141331339
Shipping and handling
Item does not ship to United States
Item location:
GU14 0GT, United Kingdom
Ships to:
Albania, Algeria, American Samoa, Americas, Andorra, Angola, Anguilla, Antigua and Barbuda, Argentina, Armenia, Aruba, Asia, Azerbaijan Republic, Bahamas, Bahrain, Bangladesh, Barbados, Belgium, Belize, Benin, Bermuda, Bhutan, Bolivia, Bosnia and Herzegovina, Botswana, Brazil, British Virgin Islands, Brunei Darussalam, Bulgaria, Burkina Faso, Burundi, Cambodia, Cameroon, Cape Verde Islands, Cayman Islands, Central African Republic, Chad, Chile, China, Colombia, Comoros, Cook Islands, Costa Rica, Cyprus, Czech Republic, Côte d'Ivoire (Ivory Coast), Democratic Republic of the Congo, Denmark, Djibouti, Dominica, Dominican Republic, Ecuador, Egypt, El Salvador, Equatorial Guinea, Eritrea, Estonia, Ethiopia, Europe, Falkland Islands (Islas Malvinas), Fiji, Finland, French Guiana, French Polynesia, Gabon Republic, Gambia, Georgia, Ghana, Gibraltar, Greece, Greenland, Grenada, Guadeloupe, Guam, Guatemala, Guernsey, Guinea, Guinea-Bissau, Guyana, Haiti, Honduras, Hong Kong, Hungary, Iceland, India, Indonesia, Iraq, Israel, Jamaica, Japan, Jersey, Jordan, Kazakhstan, Kenya, Kiribati, Kuwait, Kyrgyzstan, Laos, Latvia, Lebanon, Lesotho, Liberia, Liechtenstein, Lithuania, Luxembourg, Macau, Macedonia, Madagascar, Malawi, Malaysia, Maldives, Mali, Malta, Marshall Islands, Martinique, Mauritania, Mauritius, Mayotte, Mexico, Micronesia, Moldova, Monaco, Mongolia, Montenegro, Montserrat, Morocco, Mozambique, Namibia, Nepal, Netherlands Antilles, New Caledonia, New Zealand, Nicaragua, Niger, Nigeria, Niue, Norway, Oman, Pakistan, Palau, Panama, Papua New Guinea, Paraguay, Peru, Philippines, Poland, Portugal, Puerto Rico, Qatar, Republic of Croatia, Republic of the Congo, Reunion, Romania, Rwanda, Saint Helena, Saint Kitts-Nevis, Saint Lucia, Saint Pierre and Miquelon, Saint Vincent and the Grenadines, San Marino, Saudi Arabia, Senegal, Serbia, Seychelles, Sierra Leone, Singapore, Slovakia, Slovenia, Solomon Islands, South Africa, South Korea, Sri Lanka, Suriname, Svalbard and Jan Mayen, Swaziland, Sweden, Taiwan, Tajikistan, Tanzania, Thailand, Togo, Tonga, Trinidad and Tobago, Tunisia, Turkey, Turkmenistan, Turks and Caicos Islands, Tuvalu, Uganda, United Arab Emirates, Uruguay, Uzbekistan, Vanuatu, Vatican City State, Venezuela, Vietnam, Virgin Islands (U.S.), Wallis and Futuna, Western Sahara, Western Samoa, Zambia, Zimbabwe
Excludes:
Afghanistan, Australia, Austria, Belarus, France, Germany, Ireland, Italy, Libya, Nauru, Netherlands, Russian Federation, Somalia, Spain, Switzerland, Ukraine, United Kingdom, United States, Yemen
| Handling time |
|---|
| Will usually ship within 3 business days of receiving cleared payment. |
| Taxes |
|---|
| Taxes may be applicable at checkout. Learn moreLearn more about paying tax on eBay purchases |
Sales tax for an item #395141331339
Sales tax for an item #395141331339
Seller collects sales tax for items shipped to the following provinces:
| Province | Sales Tax Rate |
|---|
Return policy
| After receiving the item, contact seller within |
|---|
| 30 days after the buyer receives it |
The buyer is responsible for return shipping costs.
Payment details
Payment methods
Popular categories from this store
Seller feedback (182,732)
u***n (38)- Feedback left by buyer.
Past 6 months
Verified purchase
Product is 95% alike picture but a little more blurry. Controller play well but had a notice from psn that my joypad wasn't authentic and could by problematic🤷♂️ no trouble so far! Shipping was fast but no tracking and worst packaging ever.. like the box came banged up... send a question to seller never had a reply 😅.... Good product overall, excellent price, fast shipping, wrapped only on 4 sides out of 6, no tracking and never reply... 4★ product / 2★ seller ✌️
l***t (120)- Feedback left by buyer.
Past 6 months
Verified purchase
The book is in perfect condition, brand new, and is exactly as described. This item is difficult to find here, and the seller priced it very reasonably. It shipped from the UK to Canada, and unfortunately took a little longer to arrive than the seller hoped, but it was shipped less than 24 hours after I purchased. When I contacted the seller, they were very responsive and helpful. I would not hesitate to purchase from this seller again. Definitely recommend!
s***a (696)- Feedback left by buyer.
Past month
Verified purchase
AAA seller. Item came as described and within the due date. Great communication. Well packed and no damage to the case.
Product ratings and reviews
More to explore:
- Fiction Books & Frank Herbert Fiction,
- Nonfiction Books Fiction & Frank Herbert,
- Lisa Frank Book Covers,
- Fiction & L. Frank Baum Books,
- L. Frank Baum Audiobooks,
- Antiquarian & Collectible Books L. Frank Baum,
- Frank Herbert Fiction & Signed Fiction Books,
- Frank Yerby Antiquarian & Collectible Books,
- Frank Herbert Hardcover Illustrated Fiction Books,
- Frank Herbert Fiction & Books with Vintage Fiction