Optimizing Optimization

The Next Generation of Optimization Applications and Theory

Stephen Satchell, Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.

Audience
Portfolio managers in buy-side firms (hedge funds, mutual funds, pension funds) and investment houses
CTOs who make purchasing decisions for financial optimization software.
Research staff at top quantitative investing companies like BGI and SSgA.
Masters and PhD students in financial engineering programs worldwide.

Buy this

Hardbound, 328 Pages

Published: October 2009

Imprint: Academic Press

ISBN: 978-0-12-374952-9

Optimizing Optimization
Stephen Satchell
Section 1: Practitioners and Products
Chapter 1: Robust Portfolio Optimization Using Second Order Cone Programming
Fiona Kolbert and Laurence Wormald
Chapter 2: Novel Approaches to Portfolio Construction: Multiple Risk Models and Multi-Solution Generation
Sebastian Ceria, Francis Margot, Anthony Renshaw, and Anureet Saxena
Chapter 3: Bitter Lessons Learned from Practical Optimization or A Holding Hand Through the Dark Valley of Infeasibility
Daryl Roxburgh, Katja Scherer, and Tim Matthews
Chapter 4: The Windham Portfolio Advisor
Mark Kritzman
Section 2: Theory
Chapter 5: Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed Distributions
Amira Biglova, Sergio Ortobelli, Svetlozar Rachev, and Frank J. Fabozzi
Chapter 6: Staying Ahead on Downside Risk
Giuliano De Rossi
Chapter 7: Optimization and Portfolio Selection
Hal Forsey and Frank Sortino
Chapter 8: Computing Optimal Mean/Downside Risk Frontiers: the Role of Ellipticity
A.D. Hall and Stephen Satchell
Chapter 9: Portfolio Optimization with Threshold Accepting: A Practical Guide
Manfred Gilli and Enrico Schumann
Chapter 10: Some Properties Averaging Simulated Optimization Methods
J. Knight and Stephen Satchell
Chapter 11: Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of Distributions
Richard Louth
Chapter 12: More Than You Ever Wanted to Know about Conditional Value at Risk-Optimization
Bernd Scherer

Optimizing Optimization

The Next Generation of Optimization Applications and Theory

Contents