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Robust portfolio optimization and management Frank J. Fabozzi ; Petter N. Kolm ; Dessislava A. Pachamanova ; Sergio M. Focardi

By: Fabozzi, Frank JContributor(s): Kolm, Petter N | Pachamanova, Dessislava A | Focardi, Sergio MMaterial type: TextTextSeries: Frank J. Fabozzi series | Wiley financePublication details: Hoboken, NJ John Wiley 2007 Description: XVI, 495 S. : graph. DarstISBN: 047192122X; 978-0-471-92122-6Subject(s): Finanzanalyse | Portfolio SelectionDDC classification: 332.6015196 Summary: Contents: CHAPTER 1. Introduction ; PART ONE. Portfolio Allocation: Classical Theory and Extensions ; CHAPTER 2. Mean-Variance Analysis and Modern Portfolio Theory ; CHAPTER 3. Advances in the Theory of Portfolio Risk Measures ; CHAPTER 4. Portfolio Selection in Practice ; PART TWO. Robust Parameter Estimation ; CHAPTER 5. Classical Asset Pricing ; CHAPTER 6. Forecasting Expected Return and Risk ; CHAPTER 7. Robust Estimation ; CHAPTER 8. Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model ; PART THREE. Optimization Techniques ; CHAPTER 9. Mathematical and Numerical Optimization ; CHAPTER 10. Optimization under Uncertainty ; CHAPTER 11. Implementing and Solving Optimization Problems in Practice ; PART FOUR. Robust Portfolio Optimization ; CHAPTER 12. Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization ; CHAPTER 13. The Practice of Robust Portfolio Management: Recent Trends and New Directions ; CHAPTER 14. Quantitative Investment Management Today and Tomorrow ; APPENDIX A. Data Description: The MSCI World Index ; INDEX
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Monographie ausleihbar Monographie ausleihbar PIK
PIK B 160-09-0276 (Browse shelf(Opens below)) Available 000502548
Total holds: 0

MAB0014.001: PIK B 160-09-0276

MAB0036: m

Contents: CHAPTER 1. Introduction ; PART ONE. Portfolio Allocation: Classical Theory and Extensions ; CHAPTER 2. Mean-Variance Analysis and Modern Portfolio Theory ; CHAPTER 3. Advances in the Theory of Portfolio Risk Measures ; CHAPTER 4. Portfolio Selection in Practice ; PART TWO. Robust Parameter Estimation ; CHAPTER 5. Classical Asset Pricing ; CHAPTER 6. Forecasting Expected Return and Risk ; CHAPTER 7. Robust Estimation ; CHAPTER 8. Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model ; PART THREE. Optimization Techniques ; CHAPTER 9. Mathematical and Numerical Optimization ; CHAPTER 10. Optimization under Uncertainty ; CHAPTER 11. Implementing and Solving Optimization Problems in Practice ; PART FOUR. Robust Portfolio Optimization ; CHAPTER 12. Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization ; CHAPTER 13. The Practice of Robust Portfolio Management: Recent Trends and New Directions ; CHAPTER 14. Quantitative Investment Management Today and Tomorrow ; APPENDIX A. Data Description: The MSCI World Index ; INDEX

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