Robust equity portfolio management website formulations implementations and properties using matlab

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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.

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Taal: en

Bindwijze: Hardcover

Oorspronkelijke releasedatum: 26 januari 2016

Aantal pagina's: 256

Illustraties: Nee

Hoofdauteur: Woo Chang Kim

Tweede Auteur: Jang Ho Kim

Co Auteur: Frank J. Fabozzi

Hoofduitgeverij: Onbekend

Editie: 11

Extra groot lettertype: Nee

Product breedte: 162 mm

Product hoogte: 24 mm

Product lengte: 236 mm

Studieboek: Nee

Verpakking breedte: 150 mm

Verpakking hoogte: 250 mm

Verpakking lengte: 15 mm

Verpakkingsgewicht: 666 g

EAN: 9781118797266

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