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| OPTIMIZING OPTIMIZATION
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The Next Generation of Optimization Applications and Theory
To order this title, and for more information, click here
By
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.
Included in series
Quantitative 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.
Contents
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
| Bibliographic details |
Hardbound, 328 pages, publication date: OCT-2009
ISBN-13: 978-0-12-374952-9
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
GBP 85.99
USD 141.95
EUR 100.95
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Last update: 25 Nov 2009
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