Optimizing Optimization
The Next Generation of Optimization Applications and Theory
Published on 11. November 2009
Book
Hardback
328 pages
978-0-12-374952-9 (ISBN)
Description
The practical aspects of optimization rarely receive global, balanced examinations. Stephen Satchell's nuanced assembly of technical presentations about optimization packages (by their developers) and about current optimization practice and theory (by academic researchers) makes available highly practical solutions to our post-liquidity bubble environment. The commercial chapters emphasize algorithmic elements without becoming sales pitches, and the academic chapters create context and explore development opportunities. Together they offer an incisive perspective that stretches toward new products, new techniques, and new answers in quantitative finance.
More details
Series
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
Professional and scholarly
. Portfolio managers in buy-side firms (hedge funds, mutual funds, pension funds) and investment houses
. CTOs who make purchasing decisions for financial optimization software.
. Research staff at top quantitative investing companies like BGI and SSgA.
. Masters and PhD students in financial engineering programs worldwide.
Illustrations
Illustrated
Dimensions
Height: 229 mm
Width: 152 mm
Weight
660 gr
ISBN-13
978-0-12-374952-9 (9780123749529)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
E-Book
09/2009
Academic Press
€124.00
Available for download
Person
Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.
Content
Optimizing OptimizationStephen SatchellSection 1: Practitioners and Products1. Robust Portfolio Optimization Using Second Order Cone ProgrammingFiona Kolbert and Laurence Wormald2. Novel Approaches to Portfolio Construction: Multiple Risk Models and Multi-Solution GenerationSebastian Ceria, Francis Margot, Anthony Renshaw, and Anureet Saxena3. Bitter Lessons Learned from Practical Optimization or A Holding Hand Through the Dark Valley of InfeasibilityDaryl Roxburgh, Katja Scherer, and Tim Matthews4. The Windham Portfolio AdvisorMark KritzmanSection 2: Theory5. Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed DistributionsAmira Biglova, Sergio Ortobelli, Svetlozar Rachev, and Frank J. Fabozzi6. Staying Ahead on Downside RiskGiuliano De Rossi7. Optimization and Portfolio SelectionHal Forsey and Frank Sortino8. Computing Optimal Mean/Downside Risk Frontiers: the Role of EllipticityA.D. Hall and Stephen Satchell9. Portfolio Optimization with 'Threshold Accepting': A Practical GuideManfred Gilli and Enrico Schumann10. Some Properties Averaging Simulated Optimization MethodsJ. Knight and Stephen Satchell11. Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of DistributionsRichard Louth12. More Than You Ever Wanted to Know about Conditional Value at Risk-OptimizationBernd Scherer