Optimizing Optimization

Optimizing Optimization
Stephen Satchell

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

Section 2: Theory
5. Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed Distributions
Amira Biglova, Sergio Ortobelli, Svetlozar Rachev, and Frank J. Fabozzi
6. Staying Ahead on Downside Risk
Giuliano De Rossi
7. Optimization and Portfolio Selection
Hal Forsey and Frank Sortino
8. Computing Optimal Mean/Downside Risk Frontiers: the Role of Ellipticity
A.D. Hall and Stephen Satchell
9. Portfolio Optimization with 'Threshold Accepting': A Practical Guide
Manfred Gilli and Enrico Schumann
10. Some Properties Averaging Simulated Optimization Methods
J. Knight and Stephen Satchell
11. Heuristic Portfolio Optimization: Bayesian Updating with the Johnson Family of Distributions
Richard Louth
12. More Than You Ever Wanted to Know about Conditional Value at Risk-Optimization
Bernd Scherer

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.