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07406nam a2200721 4500 |
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20170124072724.4 |
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151005s2015 nju o 001 0 eng |
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|a 2015038837
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|a 9781118797358
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|a MAIN
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1 |
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|a Kim, Woo Chang
|c (Associate professor)
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1 |
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|a Robust equity portfolio management + website :
|b formulations, implementations, and properties using MATLAB /
|c Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi.
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| 264 |
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|a Hoboken :
|b Wiley,
|c 2015.
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| 300 |
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|a 1 online resource.
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| 336 |
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|a text
|2 rdacontent
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|a computer
|2 rdamedia
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| 338 |
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|a online resource
|2 rdacarrier
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| 490 |
1 |
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|a Frank J. Fabozzi series
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| 500 |
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|a Includes index.
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|a 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 .
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|a "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"--
|c Provided by publisher.
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| 520 |
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|a "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 (www.wiley.com/go/robustequitypm)"--
|c Provided by publisher.
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| 588 |
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|a Description based on print version record and CIP data provided by publisher.
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| 505 |
0 |
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|a The Frank J. Fabozzi Series; Title Page; Copyright; Table of Contents; Dedication; 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
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|a Key PointsNotes; Chapter 4: Robust Approaches for Portfolio Selection; 4.1 Robustness; 4.2 Robust statistics; 4.3 Shrinkage Estimation; 4.4 Monte Carlo Simulation; 4.5 Constraining Portfolio Weights; 4.6 Bayesian Approach; 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; 5.3 Robust Counterparts; 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
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8 |
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|a 6.4 Robust Portfolios with Box Uncertainty6.5 Robust Portfolios with Ellipsoidal Uncertainty; 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 Tests; Key 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
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8 |
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|a 8.3 Factor Dependency of Robust Portfolios: Theoretical Arguments8.4 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; 9.3 Composition Based on Additional Factors; 9.4 Composition Based on Stock Betas; 9.5 Robust Portfolio Construction Based on Stock Beta Attributes; Key Points; Notes; Chapter 10: Robust Portfolio Performance
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| 505 |
8 |
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|a 10.1 Portfolio Performance Measures10.2 Historical Performance of Robust Portfolios; 10.3 Measuring Robustness; Key Points; Notes; Chapter 11: Robust Optimization Software; 11.1 YALMIP; 11.2 ROME (Robust Optimization Made Easy); 11.3 AIMMS; Key Points; Notes; About the Authors; About the Companion Website; Index; End User License Agreement
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| 650 |
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|a Portfolio management.
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| 650 |
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|a Investments
|x Mathematical models.
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| 650 |
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|a Investment analysis
|x Mathematical models.
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| 650 |
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7 |
|a BUSINESS & ECONOMICS / Investments & Securities.
|2 bisacsh
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| 650 |
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7 |
|a Investment analysis
|x Mathematical models.
|2 fast
|0 (OCoLC)fst00978187
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| 650 |
|
7 |
|a Investments
|x Mathematical models.
|2 fast
|0 (OCoLC)fst00978277
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| 650 |
|
7 |
|a Portfolio management.
|2 fast
|0 (OCoLC)fst01072072
|
| 655 |
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4 |
|a Electronic books.
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| 700 |
1 |
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|a Kim, Jang-Ho.
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| 700 |
1 |
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|a Fabozzi, Frank J.
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| 776 |
0 |
8 |
|i Print version:
|a Kim, Woo-chʻang.
|t Robust equity portfolio management + website
|d Hoboken : Wiley, 2015
|z 9781118797266
|w (DLC) 2015030347
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| 830 |
|
0 |
|a Frank J. Fabozzi series.
|
| 856 |
4 |
0 |
|u https://doi.org/10.1002/9781118797358
|z Full Text via HEAL-Link
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| 994 |
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|a 92
|b DG1
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