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基本説明
Solutions to portfolio optimization problems by industry and academic leaders.
Full Description
The practical aspects of optimization rarely receive global, balanced examinations. Stephen Satchell's 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.
Contents
Optimizing OptimizationStephen SatchellSection 1: Practitioners and ProductsChapter 1: Robust Portfolio Optimization Using Second Order Cone ProgrammingFiona Kolbert and Laurence WormaldChapter 2: Novel Approaches to Portfolio Construction: Multiple Risk Models and Multi-Solution GenerationSebastian Ceria, Francis Margot, Anthony Renshaw, and Anureet SaxenaChapter 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 AdvisorMark KritzmanSection 2: TheoryChapter 5: Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed DistributionsAmira Biglova, Sergio Ortobelli, Svetlozar Rachev, and Frank J. FabozziChapter 6: Staying Ahead on Downside RiskGiuliano De RossiChapter 7: Optimization and Portfolio SelectionHal Forsey and Frank SortinoChapter 8: Computing Optimal Mean/Downside Risk Frontiers: the Role of EllipticityA.D. Hall and Stephen SatchellChapter 9: Portfolio Optimization with 'Threshold Accepting': A Practical GuideManfred Gilli and Enrico SchumannChapter 10: Some Properties Averaging Simulated Optimization MethodsJ. Knight and Stephen SatchellChapter 11: Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of DistributionsRichard LouthChapter 12: More Than You Ever Wanted to Know about Conditional Value at Risk-OptimizationBernd Scherer
