Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB
著者
書誌事項
Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB
(The Frank J. Fabozzi series)
Wiley, c2016
- : hardback
大学図書館所蔵 全2件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
  スイス
  フランス
  ベルギー
  オランダ
  スウェーデン
  ノルウェー
  アメリカ
注記
Includes index
内容説明・目次
内容説明
A 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 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 optimization
Implement robust models using provided MATLAB code
Learn advanced optimization methods with equity portfolio applications
Understand the formulations, performances, and properties of robust portfolios
The 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 + Website provides a viable alternative framework, and the hard skills to implement any optimization method.
目次
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
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