Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

...

Optimizing Optimization ...

Quantitative Finance Series Aims and Objectives ● Books based on the work of financial market practitioners and academics ● Pres ...

Optimizing Optimization The Next Generation of Optimization Applications and Theory Stephen Satchell AMSTERDAM • BOSTON • HEIDEL ...

Academic Press is an imprint of Elsevier 30 Corporate Drive, Suite 400, Burlington, MA 01803, USA 525 B Street, Suite 1900, San ...

Contents Sebastian Ceria, Francois Margot, Anthony Renshaw and ...

...

Almira Biglova, Sergio Ortobelli, Svetlozar Rachev and ...

...

...

Section One Practitioners and Products List of Contributors xi cone programming 1 Robust portfolio optimization using second-or ...

List of Contributors Almira Biglova holds a PhD in mathematical and empirical finance and is cur- rently a Risk Controller at DZ ...

xii List of Contributors Hal Forsey earned a PhD in mathematics at the University of Southern California and a masters in operat ...

List of Contributors xiii Research in Finance and The Investment Fund for Foundations. Mr. Kritzman has written numerous article ...

xiv List of Contributors and is the author of 12 books and over 300 published articles on finance, econo- metrics, statistics, a ...

List of Contributors xv Bernd Scherer is Managing Director at Morgan Stanley Investment Management and Visiting Professor at Bir ...

xvi List of Contributors Laurence Wormald is Head of Research at SunGard APT where he has worked since July 2008. Previously he ...

Section One Practitioners and Products ...

This page intentionally left blank ...

© 2009 Elsevier Limited. All rights reserved. Doi:10.1016/B978-0-12-374952-9.00001-4. 2010 Robust portfolio optimization using s ...