[BOOK][B] Robust portfolio optimization and management
FJ Fabozzi, PN Kolm, DA Pachamanova, SM Focardi - 2007 - books.google.com
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 …
Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have …
Agent-based simulation of a financial market
M Raberto, S Cincotti, SM Focardi… - Physica A: Statistical …, 2001 - Elsevier
This paper introduces an agent-based artificial financial market in which heterogeneous
agents trade one single asset through a realistic trading mechanism for price formation. Agents …
agents trade one single asset through a realistic trading mechanism for price formation. Agents …
[BOOK][B] The basics of financial econometrics: Tools, concepts, and asset management applications
FJ Fabozzi, SM Focardi, ST Rachev, BG Arshanapalli - 2014 - books.google.com
An accessible guide to the growing field of financial econometrics As finance and financial
products have become more complex, financial econometrics has emerged as a fast-growing …
products have become more complex, financial econometrics has emerged as a fast-growing …
[BOOK][B] Financial econometrics: from basics to advanced modeling techniques
A comprehensive guide to financial econometrics Financial econometrics is a quest for
models that describe financial time series such as prices, returns, interest rates, and exchange …
models that describe financial time series such as prices, returns, interest rates, and exchange …
[BOOK][B] The mathematics of financial modeling and investment management
SM Focardi, FJ Fabozzi - 2004 - books.google.com
… Sergio Focardi is a founding partner of the Paris-based consulting firm The Intertek Group.
Sergio lectures at CINEF (Center for Interdisciplinary Research in Economics and Finance) at …
Sergio lectures at CINEF (Center for Interdisciplinary Research in Economics and Finance) at …
[BOOK][B] Financial modeling of the equity market: from CAPM to cointegration
FJ Fabozzi, SM Focardi, PN Kolm - 2006 - books.google.com
… Sergio M. Focardi is a founding partner of the Paris-based consulting firm The Intertek Group.
Sergio lectures at CINEF (Center for Interdisciplinary Research in Economics and Finance) …
Sergio lectures at CINEF (Center for Interdisciplinary Research in Economics and Finance) …
ARCH/GARCH models in applied financial econometrics
RF Engle, SM Focardi… - Encyclopedia of financial …, 2012 - Wiley Online Library
Volatility is a key parameter used in many financial applications, from derivatives valuation
to asset management and risk management. Volatility measures the size of the errors made …
to asset management and risk management. Volatility measures the size of the errors made …
[BOOK][B] Quantitative equity investing: Techniques and strategies
FJ Fabozzi, SM Focardi, PN Kolm - 2010 - books.google.com
A comprehensive look at the tools and techniques used in quantitative equity management
Some books attempt to extend portfolio theory, but the real issue today relates to the practical …
Some books attempt to extend portfolio theory, but the real issue today relates to the practical …
A methodology for index tracking based on time-series clustering
SM Focardi, FJ Fabozzi 3 - Quantitative Finance, 2004 - Taylor & Francis
With the increased acceptance of capital market efficiency, there has been a significant
increase in the money managed on an indexed basis. Several methodologies are available to …
increase in the money managed on an indexed basis. Several methodologies are available to …
[PDF][PDF] Incorporating trading strategies in the Black-Litterman framework
FJ Fabozzi, SM Focardi, PN Kolm - The Journal of Trading, 2006 - academia.edu
IT IS ILLEGAL TO REPRODUCE THIS ARTICLE IN ANY FORMAT optimization (Best and
Grauer [1991],[1992]). The relative importance depends on the investor’s risk aversion, but as a …
Grauer [1991],[1992]). The relative importance depends on the investor’s risk aversion, but as a …