The Next Generation of Optimization Applications and Theory

Auteur: Satchell, Stephen
Editeur: Elsevier Science
Publication: 2009
Edition n°:
ISBN: 978-0-12374952-9
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Editor Stephen Satchell brings us a book that truly lives up to its title: optimizing optimization by taking the lessons learned about the failures of portfolio optimization from the credit crisis and collecting them into one book, providing a variety of perspectives from the leaders in both industry and academia on how to solve these problems both in theory and in practice. Industry leaders are invited to present chapters that explain how their new breed of optimization software addresses the faults of previous versions. Software vendors present their best of breed optimization software, demonstrating how it addresses the faults of the credit crisis. Cutting-edge academic articles complement the commercial applications to provide a well-rounded insight into the current landscape of portfolio optimization.

Optimization is the holy grail of portfolio management, creating a portfolio in which return is highest in light of the risk the client is willing to take. Portfolio optimization has been done by computer modeling for over a decade, and several leading software companies make a great deal of money by selling optimizers to investment houses and hedge funds. Hedge funds in particular were enamored of heavily computational optimizing software, and many have been burned when this software did not perform as, er, expected during the market meltdown.

The software providers are currently reworking their software to address any shortcomings that became apparent during the meltdown, and are eager for a forum to address their market and have the space to describe in detail how their new breed of software can manage not only the meltdown problems but also perform faster and better than ever before—that is, optimizing the optimizers!!

In addition, there is a strong line of serious well respected research on portfolio optimization coming from the academic side of the finance world. Many different academic approaches have appeared toward optimization: some favor stochastic methods, others numerical methods, others heuristic methods. All focus on the same issues of optimizing performance at risk levels.

This book will provide the forum that the software vendors are looking for to showcase their new breed of software. It will also provide a forum for the academics to showcase their latest research. It will be a must-read book for portfolio managers who need to know whether their current optimization software provider is up to snuff compared to the competition, whether they need to move to a competitor product, whether they need to be more aware of the cutting-edge academic research as well.

• Feature: “One stop shopping?: all the vendors’ most recent offerings are collected in one book
• Benefit: Saves the decisionmaker valuable time going to numerous websites, calling vendors, going to conferences

• Feature: Showcases what the leading credit risk software vendors are doing to address the credit crisis
• Benefit: Readers can see the most current changes being made in one place and can compare and contrast them

• Feature: Bridges theory and practice by presenting implementation in section 1 and cutting-edge theory in section 2
• Benefit: Unique opportunity for readers to see theory and practice brought together

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