Optimizing Optimization (English, Hardcover, Satchell Stephen)

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Section 1: Practitioners and Products

Chapter 1: Robust Portfolio Optimization Using Second Order Cone Programming
Fiona Kolbert and Laurence Wormald
Chapter 2: Novel Approaches to Portfolio Construction: Multiple Risk Models and Multi-Solution Generation
Sebastian Ceria, Francis Margot, Anthony Renshaw, and Anureet Saxena
Chapter 3: Bitter Lessons Learned from Practical Optimization or A Holding Hand Through the Dark Valley of Infeasibility
Daryl Roxburgh, Katja Scherer, and Tim Matthews
Chapter 4: The Windham Portfolio Advisor
Mark Kritzman

Section 2: Theory

Chapter 5: Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed Distributions
Amira Biglova, Sergio Ortobelli, Svetlozar Rachev, and Frank J. Fabozzi
Chapter 6: Staying Ahead on Downside Risk
Giuliano De Rossi
Chapter 7: Optimization and Portfolio Selection
Hal Forsey and Frank Sortino
Chapter 8: Computing Optimal Mean/Downside Risk Frontiers: the Role of Ellipticity
A.D. Hall and Stephen Satchell
Chapter 9: Portfolio Optimization with ‘Threshold Accepting’: A Practical Guide
Manfred Gilli and Enrico Schumann
Chapter 10: Some Properties Averaging Simulated Optimization Methods
J. Knight and Stephen Satchell
Chapter 11: Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of Distributions
Richard Louth
Chapter 12: More Than You Ever Wanted to Know about Conditional Value at Risk-Optimization
Bernd Scherer