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Robust Portfolio Optimization and Management (Frank J Fabozzi Series)
by Frank J. Fabozzi, Petter N. Kolm, Dessislava Pachamanova, Sergio M. Focardi
from Wiley
Customer Reviews:
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Avg. Customer Rating: 4.5 / 5.0 
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Excellent, Cutting-edge! 
This book is fabulous. It covers the latest optimization and statistical methods in Finance as well as the modern portfolio theory and some risk management and can be used for audience with Finance background, or optimization or statistics background. It is definitely one of the best books serving as an interface between Finance and Operations Research (O.R.). The other excellent book is "Optimization Methods in Finance," by Cornuejols and Tutuncu (2007), which discusses O.R. techniques with financial... more info
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A good book, but... 
This book is similar to most other Fabozzi books, sharing similar strengths and weaknesses. The good part is that it provides a relatively complete and very up-to-date reference on current research in portfolio optimization. It will save you a lot of time in doing literature review.
I do not really like two features about the book. First, there are gaps and repetitions in the book (I guess this is not surprising, given it's written by many authors, but someone should try to put everything together in a... more info
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A must read for Quant
Quick fact:
1) Highly recommand this book to serious Quants.
2) Graduate lever math is required for serious reader.
3) Good reference book and good for self-study
4) Well written, easy read.
5) worth the money.
The field of quantitative techniques have developed so much in the last 10 years, but almost no book cover enough serious topics about these new directions. I had already learn a bit of the robust techniques while working, including robust estimates, robust... more info
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