Features
- Cover Type: Hard Cover with 495 pages
- Published by: Wiley March 2007
- Written in: English
- ISBN 10 Number: 047192122X
- ISBN 13 Number: 978-0471921226
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Book Dimensions:
9.1 x 6.3 x 1.6 inches
- Weighs: 1.8 pounds
Reader Reviews
This book is fabulous. It covers the latest optimization and statistical methods in Finance as well as the modern portfolio theory and some risk management and can be used for audience with Finance background, or optimization or statistics background. It is definitely one of the best books serving as an interface between Finance and Operations Research (O.R.). The other excellent book is "Optimization Methods in Finance," by Cornuejols and Tutuncu (2007), which discusses O.R. techniques with financial applications. This one is almost the opposite - it focuses on modern portfolio theory and discusses how O.R. and statistical methods can be applied. Both books discuss some latest optimization techniques - however, this one has much more details on a modern method for handling uncertainty called Robust Optimization, in which Dr. Pachamanova (third author) is an expert, as well as some relatively advanced stat methods such as robust statistics and Bayesian estimation. Despite the advanced methods, I found this book Fabozzi (2007) clearly written and quite easy to follow, just like Cornuejols and Tutuncu. The onlyI have is that I wish there was a list of references at the back, just like most other books. Another text I would recommend is Ruppert's "Statistics and Finance: An Introduction" which serves as an interface between statistics and finance, as the title indicated.
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