Advances in Portfolio Construction and Implementation From Butterworth-Heinemann

Book Description

This volume on portfolio optimization and construction originated from conversations between a number of the contributors and the editors. We were inspired to write by the common realization that a lot of exciting unrecognized new work is being done by both academics and practitioners. Initial concerns that we would not find enough contributors to fill a volume changed rapidly to wondering whether this book, should be in one, two, or n volumes.

This selection of papers presents an excellent overview of a wide variety of new developments in portfolio construction methods. Everybody, but particularly newcomers to the field, can profitably read Chapter 1, an overview by Professor Gautam Mitra. The next eight chapters present practitioners approaches to portfolio issues. Topics covered include how to build portfolios robustly, how to simulate, how to account for tax issues, how to use sophisticated mathematical tools, how to include multiple asset classes, such as fixed income and hedge funds, and how to address index issues. The order in which they appear having no necessary relationship with intrinsic merit.

The academic contributions occur in Chapters 10 to 17; the theory covered here is demanding in places, covering advanced mathematical statistics and subtleties of optimization. The topics covered in this section address absolute and relative optimization, higher moment portfolio efficient frontiers, exact distributions, reverse optimization, robust optimization and some advances based on different choices of gain and loss. This volume comprehensively addresses a wide range of portfolio construction issues and it will be profitably added to both practitioner and academic book collections.

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