Robust Portfolio Optimization and Management
Robust Portfolio Optimization and Management brings together concepts from finance, economic theory, robust statistics, econometrics, and robust optimization. It illustrates how they are part of the same theoretical and practical environment, in a way that even a nonspecialized audience can understand and appreciate. This book also emphasizes a practical treatment of the subject and translate complex concepts into real-world applications for robust return forecasting and asset allocation optimization.
Praise for Robust Portfolio Optimization and Management
"In the half-century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction."
— Mark Kritzman, President and CEO, Windham Capital Management, LLC
"The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike."
— John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University