… Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically
rigorous yet remarkably accessible guide to the latest advances in portfolio construction." …

This paper introduces an agent-based artificial financial market in which heterogeneous
agents trade one single asset through a realistic trading mechanism for price formation. Agents …

… Professor Focardi is afounding partner ofthe Paris-based consulting firm TheIntertek Group.
… Professor Focardi holdsa degreein Electronic Engineering from the University of Genoa and …

… Sergio Focardi is a founding partner of the Paris-based consulting firm The Intertek Group.
Sergio lectures at CINEF (Center for Interdisciplinary Research in Economics and Finance) at …

… Focardi has implemented long-short portfolio construction applications based on dynamic
factor analysis and conducts research in the econometrics of large equity portfolios and the …

… Focardi is a founding partner of the Paris-based consulting firm The Intertek Group. Sergio
lectures at CINEF (Center for Interdisciplinary Research in Economics and Finance) at the …

Volatility is a key parameter used in many financial applications, from derivatives valuation
to asset management and risk management. Volatility measures the size of the errors made …

… Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the
essential elements of this discipline, including financial model building, financial engineering, …

With the increased acceptance of capital market efficiency, there has been a significant
increase in the money managed on an indexed basis. Several methodologies are available to …

IT IS ILLEGAL TO REPRODUCE THIS ARTICLE IN ANY FORMAT optimization (Best and
Grauer [1991],[1992]). The relative importance depends on the investor’s risk aversion, but as a …