Optimizing optimization : the next generation of optimization applications and theory /

Editor Stephen Satchell brings us a book that truly lives up to its title: optimizing optimization by taking the lessons learned about the failures of portfolio optimization from the credit crisis and collecting them into one book, providing a variety of perspectives from the leaders in both industr...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Otros Autores: Satchell, Stephen, 1949-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; Boston : Academic Press, �2010.
Colección:Quantitative finance series.
Temas:
Portfolio management > Data processing.
Portfolio management > Mathematical models.
Gestion de portefeuille > Informatique.
Gestion de portefeuille > Mod�eles math�ematiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
Portfolio management > Data processing
Portfolio management > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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.

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