Publications

Robust Equity Portfolio Management

Type
Link
Cost
Paid
Published
2015
Full Name
Robust Equity Portfolio Management: Formulations, Implementations, and Properties using MATLAB

Robust Equity Portfolio Management offers one-of-a-kind coverage that makes the highly complex and mathematically difficult practice of robust portfolio optimization accessible and easy to implement. With the academic thoroughness and hands-on applicability books in the Fabozzi Series are known for, this complete guide takes you on a dynamic course to master robust portfolio optimization and use it to significantly reduce portfolio risk and resolve the sensitivity issue of the traditional Markowitz mean-variance model. Robust Equity Portfolio Management prepares you to solve all possible uncertainties, which is a good strategy in any market.

Financial professionals and newcomers alike will benefit from:

  • The peerless depth and focus of the material on the quantitative side of equity portfolio management, with emphasis on portfolio optimization and risk analysis
  • Engaging reviews of theoretical developments alongside numerous programming examples to demonstrate their use in practice
  • A wealth of historical data, expert insight, and technical expertise used to examine the formulations, implementations, and properties of robust equity portfolios
  • A companion website offering hands-on practice implementing portfolio problems in MATLAB, as well as a complete list of MATLAB codes used in the book
  • A practical look at software packages for solving robust optimization problems with both easily defined uncertainty sets and functions for automatically reformulating problems into a tractable form