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Robust Equity Portfolio Management: Formulations, Implementations, and Properties using MATLAB, + Website



Robust Equity Portfolio Management offers one-of-a-kind coverage that makes the highly complex and mathematically difficult practice of robust portfolio optimization accessible and easy to implement. With the academic thoroughness and hands-on applicability books in the Fabozzi Series are known for, this complete guide takes you on a dynamic course to master robust portfolio optimization and use it to significantly reduce portfolio risk and resolve the sensitivity issue of the traditional Markowitz mean-variance model. Develop your skills on the accompanying website where you can safely apply what you learned and experiment with constructing robust portfolios for equity portfolio management. This groundbreaking book:

  • Introduces the mean-variance model, discusses its shortcomings, and explains common approaches for increasing the robustness of portfolios
  • Contains an overview of optimization and details the steps involved in formulating a robust portfolio optimization problem
  • Focuses on analyzing robust portfolios constructed from robust portfolio optimization by identifying attributes and summarizing performances

Robust Equity Portfolio Management prepares you to solve all possible uncertainties, which is a good strategy in any market.

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.

Preface xi

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

Index 235