By Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi
"This is a finished publication on strong portfolio optimization, together with updated advancements and may curiosity readers searching for complicated fabric on portfolio optimization. The publication also will allure introductory-level readers since it starts off by means of reviewing the principles of portfolio optimization. the fabric during this publication emphasizes functions in fairness portfolio administration and comprises MATLAB codes that may support readers of all degrees in enforcing strong versions. The ebook goals to aid the reader absolutely comprehend formulations, performances, and homes of sturdy portfolios. program within the fairness marketplace is defined in the course of the booklet and the implementation of sturdy types is defined intimately with instance code"--
"The e-book might be such a lot useful for readers who're drawn to studying concerning the quantitative part of fairness portfolio administration, mostly portfolio optimization and hazard research. Mean-variance portfolio optimization is roofed intimately, resulting in an in depth dialogue on powerful portfolio optimization. still, readers with no past wisdom of portfolio administration or mathematical modeling may be capable of stick with the presentation considering the fact that simple strategies are lined in each one bankruptcy. in addition, the most quantitative ways are provided with MATLAB examples, permitting readers to simply enforce portfolio difficulties in MATLAB or comparable modeling software program. there's a web appendix that offers the MATLAB codes offered within the bankruptcy containers (www.wiley.com/go/robustequitypm)"-- Read more...
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Extra resources for Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB
Bay, Risk-Return Analysis: The Theory and Practice of Rational Investing, Vol. 1 (McGraw-Hill Education, 2014). 3. The effect of errors in parameter estimation on mean-variance portfolios was investigated using the three frontiers by Mark Broadie, “Computing Efficient Frontiers Using Estimated Parameters,” Annals of Operations Research 45 (1993), pp. 21–58. 38 ROBUST EQUITY PORTFOLIO MANAGEMENT + WEBSITE 4. The effect of a small increase in a single asset on portfolio weights is studied by Michael J.
5% return because we only increase the magnitude. 6. Each graph shows how the optimal allocation for a stock changes as the expected returns of the 10 stocks are shifted one by one. 9% allocation, when only the expected return of Alcoa Inc. 60%. Moreover, the optimal weight in Alcoa Inc. 1%, when only the expected return for Home Depot Inc. 49%. 5 Expected return of 10 stocks Index Company 1 2 3 4 5 6 7 8 9 10 Alcoa Inc. Devon Energy Corporation eBay Inc. Ford Motor Co. FedEx Corporation General Electric Company The Home Depot, Inc.
McLeavey, Jerald E. Pinto, and Dennis W. McLeavey, Managing Investment Portfolios: A Dynamic Process, 3rd ed. (John Wiley & Sons, 2007), pp. 598–613. 10. Portfolio optimization using semivariance, VaR, and CVaR are discussed in Harry M. Markowitz, Portfolio Selection: Efficient Diversification of Investments (New Haven, CT: Yale University Press, 1959); Gordon J. Alexander and Alexandre M. Baptista, “Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis,” Journal of Economic Dynamics and Control 26, 7 (2002), pp.