Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB /: formulations, implementations, and properties using MATLAB. (2015)

• Record Type: Book
• Other Titles: Robust equity portfolio management plus website
• Further Information: Note: Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi.
• Authors: (Associate professor), Kim, Woo Chang; Kim, Jang-Ho; Fabozzi, Frank J
• 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
• Publisher Details: Hoboken, New Jersey : Wiley
• Publication Date: 2015
• Extent: 1 online resource, illustrations
• Subjects: 332.6028553; Portfolio management; Investments -- Mathematical models; Investment analysis -- Mathematical models
• Languages: English
• ISBNs: 9781118797372; 9781118797303
• Related ISBNs: 9781118797266
• Notes: Note: Includes bibliographical references and index.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.