Robust Portfolio Optimization and Management (Frank J. Fabozzi) [Hardcover]

Frank J. Fabozzi (Author), Petter N. Kolm (Author), Dessislava Pachamanova (Author), Sergio M. Focardi (Author)

Book Description

Series: Frank J. Fabozzi | Publication Date: March 2007

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

Editorial Reviews

From the Back Cover

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

About the Author

Frank J. Fabozzi, PhD, CFA, is Professor in the Practice of Finance at Yale University's School of Management and the Editor of the Journal of Portfolio Management.

Petter N. Kolm, PhD, is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. He previously worked at Goldman Sachs asset management where he developed quantitative investment models and strategies.

Dessislava A. Pachamanova, PhD, is an Assistant Professor of Operations Research at?Babson College. Her experience also includes work for Goldman Sachs and WestLB, and teaching management science, probability, statistics, and financial mathematics at MIT and Princeton University.

Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group.

Product Details

• Hardcover: 495 pages
• Publisher: Wiley; 1 edition (March 2007)
• Language: English
• ISBN-10: 047192122X
• ISBN-13: 978-0471921226
• Product Dimensions: 6.4 x 1.6 x 9.2 inches
• Shipping Weight: 1.8 pounds (View shipping rates and policies)
• Average Customer Review: 4.5 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #601,295 in Books (See Top 100 in Books)

More About the Author

Frank J. Fabozzi is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is a Chartered Financial Analyst and earned a doctorate in economics from the City University of New York.

Customer Reviews

Most Helpful Customer Reviews

12 of 14 people found the following review helpful:

5.0 out of 5 stars A must read for Quant, June 29, 2007

By 

Lijun Shi "Crazy Quant" (Cleveland, OH USA) - See all my reviews

This review is from: Robust Portfolio Optimization and Management (Frank J. Fabozzi) (Hardcover)

Quick fact:
1) Highly recommand this book to serious Quants.
2) Graduate lever math is required for serious reader.
3) Good reference book and good for self-study
4) Well written, easy read.
5) worth the money.

The field of quantitative techniques have developed so much in the last 10 years, but almost no book cover enough serious topics about these new directions. I had already learn a bit of the robust techniques while working, including robust estimates, robust portfolio construction, error control, bayesian estimates and others. But those are all picked up in pieces, at different times, and with much research efforts. So you can imagine my delight to see a book that covers a lot of the pieces concisely.

This book itself is very well written, occasionally misspelled math labels are easily corrected by more math inclined reader, and will not interfare with casual reading. Like many of Fabozzi books, overall organization is slightly loose, so that you can start any chapter in the book and still get pretty much decent view about that subject. But better written for quants than some of Fabozzi's early books (which are mainly used as reference books)

what is missing in this book?
just one: sometimes, reference papers or books are given even though a little more details would save serious reader a lot more time. Yes, I know, those are advance topics, still would like to see them as a serious reader. Maybe as appendix for relevent chapers.

Over all, worth every penny of it.

7 of 8 people found the following review helpful:

5.0 out of 5 stars Excellent, Cutting-edge!, October 1, 2007

By 

LOV - See all my reviews

Amazon Verified Purchase

This review is from: Robust Portfolio Optimization and Management (Frank J. Fabozzi) (Hardcover)

This book is fabulous. It covers the latest optimization and statistical methods in Finance as well as the modern portfolio theory and some risk management and can be used for audience with Finance background, or optimization or statistics background. It is definitely one of the best books serving as an interface between Finance and Operations Research (O.R.). The other excellent book is "Optimization Methods in Finance," by Cornuejols and Tutuncu (2007), which discusses O.R. techniques with financial applications. This one is almost the opposite - it focuses on modern portfolio theory and discusses how O.R. and statistical methods can be applied. Both books discuss some latest optimization techniques - however, this one has much more details on a modern method for handling uncertainty called Robust Optimization, in which Dr. Pachamanova (third author) is an expert, as well as some relatively advanced stat methods such as robust statistics and Bayesian estimation. Despite the advanced methods, I found this book Fabozzi (2007) clearly written and quite easy to follow, just like Cornuejols and Tutuncu. The only comment I have is that I wish there was a list of references at the back, just like most other books.

Another text I would recommend is Ruppert's "Statistics and Finance: An Introduction" which serves as an interface between statistics and finance, as the title indicated.

5 of 6 people found the following review helpful:

4.0 out of 5 stars A good book, but..., October 1, 2007

By 

Yin Luo (New York, US) - See all my reviews
(REAL NAME)   

Amazon Verified Purchase

This review is from: Robust Portfolio Optimization and Management (Frank J. Fabozzi) (Hardcover)

This book is similar to most other Fabozzi books, sharing similar strengths and weaknesses. The good part is that it provides a relatively complete and very up-to-date reference on current research in portfolio optimization. It will save you a lot of time in doing literature review.

I do not really like two features about the book. First, there are gaps and repetitions in the book (I guess this is not surprising, given it's written by many authors, but someone should try to put everything together in a coherent fashion). Second, the examples in the book tend to be overly simplistic and the authors did not include enough details for readers to replicate them (I can not really blame the authors, because most books are just like that).