Optimizing optimization the next generation of optimization application and theory

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... methods they should be mindful of their own safety and the safety of others, including parties for whom they have a professional responsibility To the fullest extent of the law, neither the Publisher... Journal of Derivatives and Hedge Funds and Journal of Risk Model Validation Optimizing Optimization The Next Generation of Optimization Applications and Theory Stephen Satchell AMSTERDAM • BOSTON... making use of SOCP, and in doing so we hope to focus the discussion of the value of portfolio optimization where it should be on the proper definition of utility and the quality of the underlying

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Xem thêm: Optimizing optimization the next generation of optimization application and theory, Optimizing optimization the next generation of optimization application and theory, 8 Bespoke optimization—putting theory into practice, 4 Section 3: Finite sample properties of estimators of alpha and tracking error, 1 Introduction: Risk measures and their axiomatic foundations, 4 Scenario generation I: The impact of estimation and approximation error, 6 Axiomatic difficulties: Who has CVaR preferences anyway?

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Optimizing Optimization: The Next Generation of Optimization Applications and Theory
Copyright Page
Contents
List of Contributors
Section One: Practitioners and Products
- Chapter 1 Robust portfolio optimization using second-order cone programming
  - Executive Summary
  - 1.1 Introduction
  - 1.2 Alpha uncertainty
  - 1.3 Constraints on systematic and specific risk
  - 1.4 Constraints on risk using more than one model
  - 1.5 Combining different risk measures
  - 1.6 Fund of funds
  - 1.7 Conclusion
  - References
  - Chapter 2 Novel approaches to portfolio construction: multiple risk models and multisolution generation
    - Executive Summary
    - 2.1 Introduction
    - 2.2 Portfolio construction using multiple risk models
      - 2.2.1 Out-of-sample results
      - 2.2.2 Discussion and conclusions
      - 2.3 Multisolution generation
        2.3.1 Constraint elasticity
        2.3.2 Intractable metrics
        2.4 Conclusions

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Optimizing optimization the next generation of optimization application and theory

Thông tin tài liệu

Từ khóa liên quan

Mục lục

Optimizing Optimization: The Next Generation of Optimization Applications and Theory

Copyright Page

Contents

List of Contributors

Section One: Practitioners and Products

Chapter 1 Robust portfolio optimization using second-order cone programming

Executive Summary

1.1 Introduction

1.2 Alpha uncertainty

1.3 Constraints on systematic and specific risk

1.4 Constraints on risk using more than one model

1.5 Combining different risk measures

1.6 Fund of funds

1.7 Conclusion

References

Chapter 2 Novel approaches to portfolio construction: multiple risk models and multisolution generation

Executive Summary

2.1 Introduction

2.2 Portfolio construction using multiple risk models

2.2.1 Out-of-sample results

2.2.2 Discussion and conclusions

2.3 Multisolution generation

2.3.1 Constraint elasticity

2.3.2 Intractable metrics

2.4 Conclusions

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