The Next Generation of Optimization Applications and TheoryBy
- Stephen Satchell
The practical aspects of optimization rarely receive global, balanced examinations. Stephen Satchells nuanced assembly of technical presentations about optimization packages (by their developers) and about current optimization practice and theory (by academic researchers) makes available highly practical solutions to our post-liquidity bubble environment. The commercial chapters emphasize algorithmic elements without becoming sales pitches, and the academic chapters create context and explore development opportunities. Together they offer an incisive perspective that stretches toward new products, new techniques, and new answers in quantitative finance.
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.
Hardbound, 328 Pages
Published: October 2009
Imprint: Academic Press
Stephen SatchellSection 1: Practitioners and ProductsChapter 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 GenerationSebastian 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 InfeasibilityDaryl Roxburgh, Katja Scherer, and Tim MatthewsChapter 4: The Windham Portfolio Advisor
Section 2: TheoryChapter 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 RiskGiuliano De RossiChapter 7: Optimization and Portfolio Selection
Hal Forsey and Frank Sortino
Chapter 8: Computing Optimal Mean/Downside Risk Frontiers: the Role of EllipticityA.D. Hall and Stephen Satchell
Chapter 9: Portfolio Optimization with Threshold Accepting: A Practical GuideManfred Gilli and Enrico Schumann
Chapter 10: Some Properties Averaging Simulated Optimization MethodsJ. Knight and Stephen SatchellChapter 11: Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of Distributions
Chapter 12: More Than You Ever Wanted to Know about Conditional Value at Risk-OptimizationBernd Scherer