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Robust Equity Portfolio Management, + Website

By Kim, Woo Chang

Robust Equity Portfolio Management, + Website Law

Robust Equity Portfolio Management, + Website

By Kim, Woo Chang

0 - Default Title
Description
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.
Product details
Edition:
1
Number of Pages:
256
Release Date:
2016-01-26
Publication Date:
2015-12-14
Publisher:
Wiley
Languages:
Original: English
ISBN10:
1118797264
ISBN13:
9781118797266
GPSR Manufacturer Reference:
[email protected]
Weight:
531 g
Height:
157 cm
Width:
235 cm
Thickness:
19 cm
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