WOO CHANG KIM is associate professor in the Industrial and Systems Engineering Department at the Korea Advanced Institute of Science and Technology (KAIST). He serves on the editorial boards for several journals, including Journal of Portfolio Management, Optimization and Engineering, and Quantitative Finance Letters.
JANG HO KIM is assistant professor of Industrial and Management Systems Engineering at Kyung Hee University.
FRANK J. FABOZZI is editor of the Journal of Portfolio Management, professor of finance at EDHEC Business School, and a senior scientific adviser at the EDHEC-Risk Institute.
CHAPTER 1 Introduction 1
CHAPTER 2 Mean-Variance Portfolio Selection 6
CHAPTER 3 Shortcomings of Mean-Variance Analysis 22
CHAPTER 4 Robust Approaches for Portfolio Selection 39
CHAPTER 5 Robust Optimization 66
CHAPTER 6 Robust Portfolio Construction 95
CHAPTER 7 Controlling Third and Fourth Moments of Portfolio Returns via Robust Mean-Variance Approach 122
CHAPTER 8 Higher Factor Exposures of Robust Equity Portfolios 137
CHAPTER 9 Composition of Robust Portfolios 164
CHAPTER 10 Robust Portfolio Performance 185
CHAPTER 11 Robust Optimization Software 216
About the Authors 231
About the Companion Website 233