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Robust portfolio management in equity markets : formulations, implementations, and properties.

Author: Woo Chang Kim
Publisher: [Place of publication not identified] : John Wiley & Sons Inc, 2014.
Series: Frank J. Fabozzi series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Kim, Woo Chang.
Robust portfolio management in equity markets.
[Place of publication not identified] : John Wiley & Sons Inc, 2014
(OCoLC)870409988
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Woo Chang Kim
ISBN: 9781118797303 1118797302 9781118797372 111879737X 9781118797358 1118797353
OCLC Number: 931627795
Description: 1 online resource.
Contents: Cover; Title Page; Copyright; Contents; Preface; Chapter 1 Introduction; 1.1 Overview of the Chapters; 1.2 Use of MATLAB; Notes; Chapter 2 Mean-Variance Portfolio Selection; 2.1 Return of Portfolios; 2.2 Risk of Portfolios; 2.3 Diversification; 2.4 Mean-Variance Analysis; 2.5 Factor Models; 2.6 Example; Key Points; Notes; Chapter 3 Shortcomings of Mean-Variance Analysis; 3.1 Limitations on the Use of Variance; 3.2 Difficulty in Estimating the Inputs; 3.3 Sensitivity of Mean-Variance Portfolios; 3.4 Improvements on Mean-Variance Analysis; Key Points; Notes. Chapter 4 Robust Approaches for Portfolio Selection4.1 Robustness; Uncertainty Aversion; 4.2 Robust statistics; Mean vs. Median; M-Estimators; L-Estimators; Estimators of Dispersion; 4.3 Shrinkage Estimation; 4.4 Monte Carlo Simulation; Portfolio Resampling; 4.5 Constraining Portfolio Weights; 4.6 Bayesian Approach; Black-Litterman Model; Equilibrium Model; Views of Investors; Combining the Equilibrium State with Investors' Views; 4.7 Stochastic Programming; 4.8 Additional Approaches; Key Points; Notes; Chapter 5 Robust Optimization; 5.1 Worst-Case Decision Making; 5.2 Convex Optimization. DualityLinear Programming; Quadratic Programming; Conic Programming; Second-Order Cone Programming; Semidefinite Programming; 5.3 Robust Counterparts; Uncertainty Sets; Robust Linear Programming; 5.4 Interior Point Methods; Key Points; Notes; Chapter 6 Robust Portfolio Construction; 6.1 Some Preliminaries; 6.2 Mean-Variance Portfolios; 6.3 Constructing Robust Portfolios; 6.4 Robust Portfolios with Box Uncertainty; Step 1. Formulate the Robust Problem by Defining the Box Uncertainty Set; Step 2. Reformulate the Robust Counterpart with Box Uncertainty. Step 3. Use Optimization Tools to Solve the Box Uncertainty Problem6.5 Robust Portfolios with Ellipsoidal Uncertainty; Step 1. Formulate the Robust Problem by Defining the Ellipsoidal Uncertainty Set; Step 2. Reformulate the Robust Counterpart with Ellipsoidal Uncertainty; Step 3. Use Optimization Tools to Solve the Ellipsoidal Uncertainty Problem; 6.6 Closing Remarks; Key Points; Notes; Chapter 7 Controlling Third and Fourth Moments of Portfolio Returns via Robust Mean-Variance Approach; 7.1 Controlling Higher Moments of Portfolio Return; 7.2 Why Robust Formulation Controls Higher Moments. 7.3 Empirical TestsKey Points; Notes; Chapter 8 Higher Factor Exposures of Robust Equity Portfolios; 8.1 Importance of Portfolio Factor Exposure; 8.2 Fundamental Factor Models in the Equity Market; 8.3 Factor Dependency of Robust Portfolios: Theoretical Arguments; 8.4 Factor Dependency of Robust Portfolios: Empirical Findings; 8.5 Factor Movements and Robust Portfolios; 8.6 Robust Formulations That Control Factor Exposure; Key Points; Notes; Chapter 9 Composition of Robust Portfolios; 9.1 Overview of Analyses; 9.2 Composition Based on Investment Styles.
Series Title: Frank J. Fabozzi series.

Abstract:

A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field.  Read more...

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