This book reminds me a
lot of the 1959 book by the author's mentor, Harry Markowitz. In that
book, Markowitz elaborated on his theory of portfolio selection. People
often don't realize that Markowitz intended that as an entirely practical
book that would introduce his ideas to the masses—or at least the
investment managers who worked for the masses ...
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Multi-Moment Asset
Allocation and Pricing Models
Traditional portfolio
optimization has considered expected return and
standard deviation of return. Efforts to model extreme events, not to
mention investments in hedge funds and other alternative
investments, have heightened interest in higher moments, especially skewness
and kurtosis. This is an edited collection of papers presented at a
recent conference on extending traditional portfolio theory to embrace
higher moments. Primarily of interest to researchers, the papers explore
and update a fascinating
literature dating to the 1960s ...
Portfolio Management with Heuristic Optimization
Dietmar Maringer
2005
This is a nice book
that looks at optimization from a financial perspective. It introduces
readers to a category of optimization techniques called heuristic
optimization and applies them to financial tasks, especially portfolio
optimization ...
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Advances in
Portfolio Construction and Implementation
Stephen Satchell and Alan Scowcroft (Eds.)
2003
If the Journal
of Finance devoted an entire issue to research papers on portfolio
construction, the result might be similar to this book. Satchell and
Scowcroft have prepared an edited collection of cutting-edge papers, but the
audience is narrow ...
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Portfolio Selection and Asset Pricing
Shouyang Wang and Yusen Xia
2002
Since Markowitz's groundbreaking 1954 work in portfolio
selection, the literature on portfolio theory has grown tremendously.
Most familiar to practitioners is theoretical work related to capital
asset pricing models. There has also been much effort devoted to making
portfolio theory more practical ...
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Portfolio Selection
Harry M. Markowitz
1959
Harry Markowitz is the father of Portfolio Theory. In 1952, he published his
groundbreaking thesis that investors should focus on selecting optimal
portfolios as opposed to optimal assets. He expanded that work into a full
length book that is Portfolio Selection ...
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