Robust Equity Portfolio Management: Formulations, Implementations, and Properties Using MATLAB + Website
Woo Chang Kim, Korea Advanced Institute of Science and Technology;
Jang Ho Kim, Kyung Hee University;
Frank J. Fabozzi, Yale School of Management
John Wiley & Sons, Inc., 2016
ISBN: 978-1-118-79726-6;
Language: English
Robust Equity Portfolio Management offers 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. 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.
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.
