Description
Book SynopsisA comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to allow readers of all levels to begin implementing robust models immediately, with detailed explanations and applications in the equity market included to help you grasp the real-world use of each technique. The discussion includes the most up-to-date thinking and cutting-edge methods, including a much-needed alternative to the traditional Markowitz mean-variance model. Unparalleled in depth and breadth, this book is an invaluable reference for all risk managers, portfolio managers, and analysts.
Portfolio construction models originating from the standard Markowitz mean-variance model have a high inp
Table of Contents
Preface xi
Chapter 1
Introduction 1
Chapter 2
Mean-Variance Portfolio Selection 6
Chapter 3
Shortcomings of Mean-Variance Analysis 22
Chapter 4
Robust Approaches for Portfolio Selection 39
Chapter 5
Robust Optimization 66
Chapter 6
Robust Portfolio Construction 95
Chapter 7
Controlling Third and Fourth Moments of Portfolio Returns via Robust Mean-Variance Approach 122
Chapter 8
Higher Factor Exposures of Robust Equity Portfolios 137
Chapter 9
Composition of Robust Portfolios 164
Chapter 10
Robust Portfolio Performance 185
Chapter 11
Robust Optimization Software 216
About the Authors 231
About the Companion Website 233
Index 235
