a oeFor money managers and investment professionals in the field, optimization is truly a can of worms rather left un-opened, until now! Here lies a thorough explanation of almost all possibilities one can think of for portfolio optimization, complete with error estimationtechniques and explanation of when non-normality plays a part. A highly recommended and practical handbook for the consummate professional and student alike!a
Steven P. Greiner, Ph.D., Chief Large Cap Quant & Fundamental Research Manager, Harris Investment Management
a oeThe authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software. Their book should be an enormous help to students and practitioners trying to move beyond traditional modern portfolio theory.a
Peter Knez, CIO, Global Head of Fixed Income, Barclays Global Investors
a oeWith regard to static portfolio optimization, the book gives a good survey on the development from the basic Markowitz approach to state of the art models and is in particular valuable for direct use in practice or for lectures combined with practical exercises.a
Short Book Reviews of the International Statistical Institute, December 2005
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a oeFor money managers and investment professionals in the field, optimization is truly a can of worms rather left un-opened, until now! Here lies a thorough explanation of almost all possibilities one can think of for portfolio optimization, complete with error estimationtechniques and explanation of when non-normality plays a part. A highly recommended and practical handbook for the consummate professional and student alike!a
Steven P. Greiner, Ph.D., Chief Large Cap Quant & Fundamental Research Manager, Harris Investment Management
a oeThe authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software. Their book should be an enormous help to students and practitioners trying to move beyond traditional modern portfolio theory.a
Peter Knez, CIO, Global Head of Fixed Income, Barclays Global Investors
a oeWith regard to static portfolio optimization, the book gives a good survey on the development from the basic Markowitz approach to state of the art models and is in particular valuable for direct use in practice or for lectures combined with practical exercises.a
Short Book Reviews of the International Statistical Institute, December 2005
Imprint | Springer-Verlag New York |
Country of origin | United States |
Release date | September 2007 |
Availability | Expected to ship within 10 - 15 working days |
First published | October 2007 |
Authors | Bernd Scherer, R. Douglas Martin |
Dimensions | 235 x 155 x 23mm (L x W x T) |
Format | Hardcover |
Pages | 406 |
Edition | 1st ed. 2005. Corr. 2nd. printing 2007 |
ISBN-13 | 978-0-387-21016-2 |
Barcode | 9780387210162 |
Categories | |
LSN | 0-387-21016-4 |