Robust Portfolio Optimization and Management

A challenge with portfolio optimization is the sensitivity of most optimization techniques to outliers in data or model assumptions—little things can have a huge impact. Robust estimation is a statistical approach that minimizes the effects of outliers or model specification. This book does more than explain portfolio optimization using robust estimation. It is a mathematically rich exploration of research into various portfolio optimization issues. Quantitative professionals or academics will find many avenues of research to explore further ...

For similar books, see sections:

Portfolio Management - Allocation/Optimization

Portfolio Management - General

Finance - Portfolio Theory

Risk Management - Market Risk

disclaimer

website: http://www.contingencyanalysis.com
books direct link: http://www.riskbook.com
copyright © Contingency Analysis, 2007