Robust Equity Portfolio Management, + Website: Formulations, Implementations, an

Description: Robust Equity Portfolio Management, + Website by Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to allow readers of all levels to begin implementing robust models immediately, with detailed explanations and applications in the equity market included to help you grasp the real-world use of each technique. The discussion includes the most up-to-date thinking and cutting-edge methods, including a much-needed alternative to the traditional Markowitz mean-variance model. Unparalleled in depth and breadth, this book is an invaluable reference for all risk managers, portfolio managers, and analysts. Portfolio construction models originating from the standard Markowitz mean-variance model have a high input sensitivity that threatens optimization, spawning a flurry of research into new analytic techniques. This book covers the latest developments along with the basics, to give you a truly comprehensive understanding backed by a robust, practical skill set. Get up to speed on the latest developments in portfolio optimizationImplement robust models using provided MATLAB codeLearn advanced optimization methods with equity portfolio applicationsUnderstand the formulations, performances, and properties of robust portfolios The Markowitz mean-variance model remains the standard framework for portfolio optimization, but the interest in—and need for—an alternative is rapidly increasing. Resolving the sensitivity issue and dramatically reducing portfolio risk is a major focus of todays portfolio manager. Robust Equity Portfolio Management + Website provides a viable alternative framework, and the hard skills to implement any optimization method. 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. Flap 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. Author Biography 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. Table of Contents 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 Long Description A COMPREHENSIVE REVIEW OF ROBUST PORTFOLIO OPTIMIZATION 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. Details ISBN1118797264 Publisher John Wiley & Sons Inc Series Frank J. Fabozzi Series ISBN-10 1118797264 ISBN-13 9781118797266 Format Hardcover Language English Media Book DEWEY 332.642 Short Title FRANK J FABOZZI ROBUST EQUITY Edition 11th Pages 256 Place of Publication New York Country of Publication United States Year 2016 Publication Date 2016-01-26 UK Release Date 2016-01-26 AU Release Date 2015-12-04 NZ Release Date 2015-12-04 Author Frank J. Fabozzi Imprint John Wiley & Sons Inc Subtitle Formulations, Implementations, and Properties using MATLAB Audience Professional & Vocational US Release Date 2016-01-26 We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:136208207;

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