August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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8 Robust optimization for utilizing
forecasted returns in institutional
investment
Christos Koutsoyannis and Stephen Satchell
8.1 Introduction
The purpose of this chapter is to examine the usefulness of ideas of robust optimization.
We shall look at potential applications in the area of financial forecasting. In keeping
with the general theme of this book, we shall focus on expected returns forecasting, and
how forecasting and robust optimization can be entered into jointly in a beneficial way.
In the process of carrying out these tasks, we shall overview ...
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