Бизнес-курс СFA
Финансово-экономические дисциплины
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Fabozzi Frank, Focardi Sergio. Trends in Quantitative Finance
Research Foundation of CFA Institute, 2006
ISBN 978-1-932495-49-2
Quantitative finance is broadly applied in three areas: (1) screening universes of securities to help select those one wants to buy (or sell short) in an effort to add alpha relative to a benchmark, (2) portfolio construction, in which optimization and related methods are used to build efficient portfolios of those securities, and (3) pricing derivatives.
The current monograph focuses, strongly but not exclusively, on portfolio construction. Fabozzi, Focardi, and Kolm pay considerable attention to optimization in the presence of estimation error, a topic raised most visibly by Richard Michaud in his January/February 1989 Financial Analysts Joual article, The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal? Approaching the problem from a different angle, Fischer Black and Robert Litterman, in their September/October 1992 Financial Analysts Joual article Global Portfolio Optimization, also addressed the issue of estimation uncertainty in portfolio construction, as did J. David Jobson and Bob Korkie in a series of articles in the early 1980s. Fabozzi, Focardi, and Kolm expand on all of these conces. And increased interest in alteative assets, such as hedge funds, for which the standard assumption of a normal distribution of retus may not apply, creates a need for robust optimization methods, to which the authors of this monograph devote considerable attention
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