Robust Equity Portfolio Management
Formulations, Implementations, and Properties using MATLAB
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 insigh…
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Produktdetails
Weitere Autoren: Kim, Woo Chang / Kim, Jang Ho
- ISBN: 978-1-118-79730-3
- EAN: 9781118797303
- Produktnummer: 19381778
- Verlag: Wiley
- Sprache: Englisch
- Erscheinungsjahr: 2015
- Seitenangabe: 256 S.
- Plattform: PDF
- Masse: 6'994 KB
Über den Autor
WOO CHANG KIM is associate professor in the Industrial and Systems Engineering Department at the Korea Advanced Institute of Science and Technology (KAIST). He serves on the editorial boards for several journals, including Journal of Portfolio Management, Optimization and Engineering, and Quantitative Finance Letters. JANG HO KIM is assistant professor of Industrial and Management Systems Engineering at Kyung Hee University. FRANK J. FABOZZI is editor of the Journal of Portfolio Management, professor of finance at EDHEC Business School, and a senior scientific adviser at the EDHEC-Risk Institute.
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