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Book Cover
Author Kim, Woo-chʻang.

Title Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB / Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi.

Published Hoboken : Wiley, 2015.


Location Call No. Status
Physical description 1 online resource.
Series Frank J. Fabozzi series
Notes Includes index.
Machine generated contents note: Preface Chapter 1: Introduction Chapter 2: Mean-Variance Portfolio Selection Chapter 3: Shortcomings of Mean-Variance Analysis Chapter 4: Robust Approaches for Portfolio Selection Chapter 5: Robust Optimization Chapter 6: Robust Portfolio Construction Chapter 7: Controlling Third and Fourth Moments of Portfolio Returns via Robust Mean-Variance Approach Chapter 8: Higher Factor Exposures of Robust Equity Portfolios Chapter 9: Composition of Robust Portfolios Chapter 10: Robust Portfolio Performance Chapter 11: Robust Optimization Software About the Authors About the Companion Website Index .
Summary "This is a comprehensive book on robust portfolio optimization, which includes up-to-date developments and will interest readers looking for advanced material on portfolio optimization. The book will also attract introductory-level readers because it begins by reviewing the foundations of portfolio optimization. The material in this book emphasizes applications in equity portfolio management and includes MATLAB codes that can assist readers of all levels in implementing robust models. The book aims to help the reader fully understand formulations, performances, and properties of robust portfolios. Application in the equity market is described throughout the book and the implementation of robust models is explained in detail with example code"-- Provided by publisher.
"The book will be most helpful for readers who are interested in learning about the quantitative side of equity portfolio management, mainly portfolio optimization and risk analysis. Mean-variance portfolio optimization is covered in detail, leading to an extensive discussion on robust portfolio optimization. Nonetheless, readers without prior knowledge of portfolio management or mathematical modeling should be able to follow the presentation since basic concepts are covered in each chapter. Furthermore, the main quantitative approaches are presented with MATLAB examples, allowing readers to easily implement portfolio problems in MATLAB or similar modeling software. There is an online appendix that provides the MATLAB codes presented in the chapter boxes ("-- Provided by publisher.
Notes Description based on print version record and CIP data provided by publisher; resource not viewed.
Other author Kim, Jang-Ho.
Fabozzi, Frank J.
Subject Porffolio management.
Investments -- Mathematical models.
Investment analysis -- Mathematical models.
BUSINESS & ECONOMICS / Investments & Securities.
Electronic books.
ISBN 9781118797372
9781118797266 (hardback)