Optimizing optimization : the next generation of optimization applications and theory /: the next generation of optimization applications and theory. (2009)

• Record Type: Book
• Further Information: Note: [edited by] Stephen Satchell.
• Other Names: Satchell, S (Stephen)
• Contents: Optimizing Optimization Stephen Satchell Section 1: Practitioners and Products Chapter 1: Robust Portfolio Optimization Using Second Order Cone Programming Fiona Kolbert and Laurence Wormald Chapter 2: Novel Approaches to Portfolio Construction: Multiple Risk Models and Multi-Solution Generation Sebastian Ceria, Francis Margot, Anthony Renshaw, and Anureet Saxena Chapter 3: Bitter Lessons Learned from Practical Optimization or A Holding Hand Through the Dark Valley of Infeasibility Daryl Roxburgh, Katja Scherer, and Tim Matthews Chapter 4: The Windham Portfolio Advisor Mark Kritzman Section 2: Theory Chapter 5: Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed Distributions Amira Biglova, Sergio Ortobelli, Svetlozar Rachev, and Frank J. Fabozzi Chapter 6: Staying Ahead on Downside Risk Giuliano De Rossi Chapter 7: Optimization and Portfolio Selection Hal Forsey and Frank Sortino Chapter 8: Computing Optimal Mean/Downside Risk Frontiers: the Role of Ellipticity A.D. Hall and Stephen Satchell Chapter 9: Portfolio Optimization with ‘Threshold Accepting’: A Practical Guide Manfred Gilli and Enrico Schumann Chapter 10: Some Properties Averaging Simulated Optimization Methods J. Knight and Stephen Satchell Chapter 11: Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of Distributions Richard Louth Chapter 12: More Than You Ever Wanted to Know about Conditional Value at Risk-Optimization Bernd Scherer
• Publisher Details: Place of publication not identified : Academic Press
• Publication Date: 2009
• Extent: 1 online resource (328 pages)
• Subjects: 332.602853; Portfolio management -- Data processing; Portfolio management -- Mathematical models
• Languages: English
• ISBNs: 9780080959207; 0080959202
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.