Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB /
"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 portf...
| Κύριος συγγραφέας: | |
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| Άλλοι συγγραφείς: | , |
| Μορφή: | Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Hoboken :
Wiley,
2015.
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| Σειρά: | Frank J. Fabozzi series.
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| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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
- 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
- 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
- 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
- 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
