Robust Equity Portfolio Management + Website : Formulations, Implementations, and Properties using MATLAB

A comprehensive portfolio optimization guide, with provided MATLAB codeRobust Equity Portfolio Management+ Websiteoffers 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 input sensitivity that threatens optimization, spawning a flurry of research into new analytic techniques. This book covers the latest developments along with the basics, to give you a truly comprehensive understanding backed by a robust, practical skill set. Get up to speed on the latest developments in portfolio optimizationImplement robust models using provided MATLAB codeLearn advanced optimization methods with equity portfolio applicationsUnderstand the formulations, performances, and properties of robust portfoliosThe Markowitz mean-variance model remains the standard framework for portfolio optimization, but the interest in-and need for-an alternative is rapidly increasing. Resolving the sensitivity issue and dramatically reducing portfolio risk is a major focus of today's portfolio manager. Robust Equity Portfolio Management+ Websiteprovides a viable alternative framework, and the hard skills to implement any optimization method. WOO CHANG KIMis 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 KIMis assistant professor of Industrial and Management Systems Engineering at Kyung Hee University. FRANK J. FABOZZIis editor of the Journal of Portfolio Management, professor of finance at EDHEC Business School, and a senior scientific adviser at the EDHEC-Risk Institute.