Optimizing OptimizationStephen SatchellSection 1: Practitioners and Products1. Robust Portfolio Optimization Using Second Order Cone ProgrammingFiona Kolbert and Laurence Wormald2. Novel Approaches to Portfolio Construction: Multiple Risk Models and Multi-Solution GenerationSebastian Ceria, Francis Margot, Anthony Renshaw, and Anureet Saxena3. Bitter Lessons Learned from Practical Optimization or A Holding Hand Through the Dark Valley of InfeasibilityDaryl Roxburgh, Katja Scherer, and Tim Matthews4. The Windham Portfolio AdvisorMark KritzmanSection 2: Theory5. Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed DistributionsAmira Biglova, Sergio Ortobelli, Svetlozar Rachev, and Frank J. Fabozzi6. Staying Ahead on Downside RiskGiuliano De Rossi7. Optimization and Portfolio SelectionHal Forsey and Frank Sortino8. Computing Optimal Mean/Downside Risk Frontiers: the Role of EllipticityA.D. Hall and Stephen Satchell9. Portfolio Optimization with ‘Threshold Accepting’: A Practical GuideManfred Gilli and Enrico Schumann10. Some Properties Averaging Simulated Optimization MethodsJ. Knight and Stephen Satchell11. Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of DistributionsRichard Louth12. More Than You Ever Wanted to Know about Conditional Value at Risk-OptimizationBernd Scherer