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Robust Equity Portfolio Management + Website: Formulations, Implementations, and Properties Using MATLAB by Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi

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

by Woo Chang Kim , Jang Ho Kim , Frank J. Fabozzi
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Book cover type: Hardcover
  • ISBN13: 9781118797266
  • Binding: Hardcover
  • Subject: Business Management
  • Publisher: Wiley
  • Publisher Imprint: John Wiley
  • Publication Date:
  • Pages: 256
  • Original Price: USD 124.95
  • Language: English
  • Edition: N/A
  • Item Weight: 431 grams
  • BISAC Subject(s): Investments & Securities / General

From the Back Cover

Since Harry Markowitz published his mean-variance model in 1952, numerous extensions have followed attempting to overcome its limitations. Robust Equity Portfolio Management provides singular coverage on one of these extensions--the construction of robust portfolios for equity portfolio management within the mean-variance framework.

Whether you have no background in portfolio management and optimization or want to add quantitative robust equity portfolio management to your skill set, this versatile guide offers step-by-step instruction on the theory and mechanics you need to use robust models for optimal portfolio construction. After an insightful primer on portfolio theory and optimization supported by programming examples, coverage advances to robust formulations, implementation of robust portfolio optimization, attributes of robust portfolios, and robust portfolio performance. Financial professionals and newcomers alike will benefit from:

  • Peerless depth and focus of material on the quantitative side of equity portfolio management, with emphasis on portfolio optimization and risk analysis
  • Engaging reviews of theoretical developments alongside numerous programming examples to demonstrate their use in practice
  • A wealth of historical data, expert insight, and technical expertise used to examine the formulations, implementations, and properties of robust equity portfolios
  • A companion website offering hands-on practice implementing portfolio problems in MATLAB, as well as a complete list of MATLAB codes used in the book
  • A practical look at software packages for solving robust optimization problems with both easily defined uncertainty sets and functions for automatically reformulating problems into a tractable form

Set yourself apart with the specialized training to explore advanced methods for improving portfolio robustness with Robust Equity Portfolio Management.

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.

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