Robust Portfolio Optimization and Management (PDF)

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