Satchell S. Optimizing Optimization. The Next Generation of Optimization Applications and Theory

Academic Press, 2010, -323 p.
The practical aspects of optimization rarely receive global, balanced examinations. Stephen Satchell's nuanced assembly of technical presentations about optimization packages (by their developers) and about current optimization practice and theory (by academic researchers) makes available highly practical solutions to our post-liquidity bubble environment. The commercial chapters emphasize algorithmic elements without becoming sales pitches, and the academic chapters create context and explore development opportunities. Together they offer an incisive perspective that stretches toward new products, new techniques, and new answers in quantitative finance.
- Presents a unique "confrontation" between software engineers and academics.
- Highlights a global view of common optimization issues.
- Emphasizes the research and market challenges of optimization software while avoiding sales pitches.
- Accentuates real applications, not laboratory results.
Section One: Practitioners and Products.
Robust portfolio optimization using second-order cone programming.
Novel approaches to portfolio construction: multiple risk models and multisolution generation.
Optimal solutions for optimization in practice.
The Windham Portfolio Advisor.
Section Two: Theory.
Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions.
Staying ahead on downside risk.
Optimization and portfolio selection.
Computing optimal mean/downside risk frontiers: the role of ellipticity.
Portfolio optimization with "Threshold Accepting": a practical guide.
Some properties of averaging simulated optimization methods.
Heuristic portfolio optimization: Bayesian updating with the Johnson family of distributions.
More than you ever wanted to know about conditional value at risk optimization.