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Modern Portfolio Management: from Markowitz to Probabilistic Scenario Optimisation
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Modern Portfolio Management: from Markowitz to Probabilistic Scenario Optimisation Goal-Based and Long-Term Portfolio Choice
Paolo Sironi
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Published by Risk Books, a Division of Incisive Media Investments Ltd Incisive Media Haymarket House 28–29 Haymarket London SW1Y 4RX Tel: + 44 (0)20 7484 9700 E-mail:
[email protected] Sites: www.riskbooks.com www.incisivemedia.com © 2015 Incisive Media Investments Ltd ISBN 978-1-78272-204-5 British Library Cataloguing in Publication Data A catalogue record for this book is available from the British Library
Publisher: Nick Carver Commissioning Editor: Sarah Hastings Managing Editor: Lewis O’Sullivan Designer: Lisa Ling Copy-edited and typeset by T&T Productions Ltd, London Printed and bound in the UK by PrintonDemand-Worldwide Conditions of sale All rights reserved. No part of this publication may be reproduced in any material form whether by photocopying or storing in any medium by electronic means whether or not transiently or incidentally to some other use for this publication without the prior written consent of the copyright owner except in accordance with the provisions of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Co