• Economics
  • Published 2007

Robust Portfolio Optimization and Management

@inproceedings{Fabozzi2007RobustPO,
  title={Robust Portfolio Optimization and Management},
  author={Frank J. Fabozzi and Petter N. Kolm and Dessislava A. Pachamanova and Sergio Focardi},
  year={2007}
}
Preface. About the Authors. CHAPTER 1. Introduction. Quantitative Techniques in the Investment Management Industry. Central Themes of This Book. Overview of This Book. PART ONE. Portfolio Allocation: Classical Theory and Extensions. CHAPTER 2. Mean-Variance Analysis and Modern Portfolio Theory. The Benefits of Diversification. Mean-Variance Analysis: Overview. Classical Framework for Mean-Variance Optimization. The Capital Market Line. Selection of the Optimal Portfolio When There Is a Risk… CONTINUE READING

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