logo资料库

Robust Equity Portfolio Management Formulations Using Matlab.pdf

发布时间：2022-06-16 发布人：admin 分类：说明书 资料大小：4.92M 资料格式：pdf 举报 版权申诉
第1页 / 共259页
第2页 / 共259页
第3页 / 共259页
第4页 / 共259页
第5页 / 共259页
第6页 / 共259页
第7页 / 共259页
第8页 / 共259页
资料共259页，剩余部分请下载后查看
    Cover
    Title Page
    Copyright
    Contents
    Preface
    Chapter 1 Introduction
    1.1 Overview of the Chapters
    1.2 Use of MATLAB
    Notes
    Chapter 2 Mean-Variance Portfolio Selection
    2.1 Return of Portfolios
    2.2 Risk of Portfolios
    2.3 Diversification
    2.4 Mean-Variance Analysis
    2.5 Factor Models
    2.6 Example
    Key Points
    Notes
    Chapter 3 Shortcomings of Mean-Variance Analysis
    3.1 Limitations on the Use of Variance
    3.2 Difficulty in Estimating the Inputs
    3.3 Sensitivity of Mean-Variance Portfolios
    3.4 Improvements on Mean-Variance Analysis
    Key Points
    Notes
    Chapter 4 Robust Approaches for Portfolio Selection
    4.1 Robustness
    Uncertainty Aversion
    4.2 Robust statistics
    Mean vs. Median
    M-Estimators
    L-Estimators
    Estimators of Dispersion
    4.3 Shrinkage Estimation
    4.4 Monte Carlo Simulation
    Portfolio Resampling
    4.5 Constraining Portfolio Weights
    4.6 Bayesian Approach
    Black-Litterman Model
    Equilibrium Model
    Views of Investors
    Combining the Equilibrium State with Investors’ Views
    4.7 Stochastic Programming
    4.8 Additional Approaches
    Key Points
    Notes
    Chapter 5 Robust Optimization
    5.1 Worst-Case Decision Making
    5.2 Convex Optimization
    Duality
    Linear Programming
    Quadratic Programming
    Conic Programming
    Second-Order Cone Programming
    Semidefinite Programming
    5.3 Robust Counterparts
    Uncertainty Sets
    Robust Linear Programming
    5.4 Interior Point Methods
    Key Points
    Notes
    Chapter 6 Robust Portfolio Construction
    6.1 Some Preliminaries
    6.2 Mean-Variance Portfolios
    6.3 Constructing Robust Portfolios
    6.4 Robust Portfolios with Box Uncertainty
    Step 1. Formulate the Robust Problem by Defining the Box Uncertainty Set
    Step 2. Reformulate the Robust Counterpart with Box Uncertainty
    Step 3. Use Optimization Tools to Solve the Box Uncertainty Problem
    6.5 Robust Portfolios with Ellipsoidal Uncertainty
    Step 1. Formulate the Robust Problem by Defining the Ellipsoidal Uncertainty Set
    Step 2. Reformulate the Robust Counterpart with Ellipsoidal Uncertainty
    Step 3. Use Optimization Tools to Solve the Ellipsoidal Uncertainty Problem
    6.6 Closing Remarks
    Key Points
    Notes
    Chapter 7 Controlling Third and Fourth Moments of Portfolio Returns via Robust Mean-Variance Approach
    7.1 Controlling Higher Moments of Portfolio Return
    7.2 Why Robust Formulation Controls Higher Moments
    7.3 Empirical Tests
    Key Points
    Notes
    Chapter 8 Higher Factor Exposures of Robust Equity Portfolios
    8.1 Importance of Portfolio Factor Exposure
    8.2 Fundamental Factor Models in the Equity Market
    8.3 Factor Dependency of Robust Portfolios: Theoretical Arguments
    8.4 Factor Dependency of Robust Portfolios: Empirical Findings
    8.5 Factor Movements and Robust Portfolios
    8.6 Robust Formulations That Control Factor Exposure
    Key Points
    Notes
    Chapter 9 Composition of Robust Portfolios
    9.1 Overview of Analyses
    9.2 Composition Based on Investment Styles
    9.3 Composition Based on Additional Factors
    9.4 Composition Based on Stock Betas
    9.5 Robust Portfolio Construction Based on Stock Beta Attributes
    Key Points
    Notes
    Chapter 10 Robust Portfolio Performance
    10.1 Portfolio Performance Measures
    Holding Period Return
    Annual Return (Annualized Return)
    Volatility (Standard Deviation)
    Sharpe Ratio
    Alpha and Beta
    Tracking Error
    Information Ratio
    Sortino Ratio
    Maximum Drawdown
    Value-at-Risk
    Conditional Value-at-Risk
    10.2 Historical Performance of Robust Portfolios
    Portfolio Strategies
    Data Description and Rebalancing Method
    Performance from 1981 to 2013
    Performance during the Global Financial Crisis
    10.3 Measuring Robustness
    Key Points
    Notes
    Chapter 11 Robust Optimization Software
    11.1 Yalmip
    Basic Structure
    Uncertain Variables
    Examples
    11.2 ROME (Robust Optimization Made Easy)
    Basic Structure
    Uncertain Variables
    Example
    11.3 AIMMS
    Key Points
    Notes
    About the Authors
    About the Companion Website
    Index
    EULA
    Robust Equity Portfolio Management + Website
    The Frank J. Fabozzi Series Fixed Income Securities, Second Edition by Frank J. Fabozzi Focus on Value: A Corporate and Investor Guide to Wealth Creation by James L. Grant and James A. Abate Handbook of Global Fixed Income Calculations by Dragomir Krgin Managing a Corporate Bond Portfolio by Leland E. Crabbe and Frank J. Fabozzi Real Options and Option-Embedded Securities by William T. Moore Capital Budgeting: Theory and Practice by Pamela P. Peterson and Frank J. Fabozzi The Exchange-Traded Funds Manual by Gary L. Gastineau Professional Perspectives on Fixed Income Portfolio Management, Volume 3 edited by Frank J. Fabozzi Investing in Emerging Fixed Income Markets edited by Frank J. Fabozzi and Efstathia Pilarinu Handbook of Alternative Assets by Mark J. P. Anson The Global Money Markets by Frank J. Fabozzi, Steven V. Mann, and Moorad Choudhry The Handbook of Financial Instruments edited by Frank J. Fabozzi Interest Rate, Term Structure, and Valuation Modeling edited by Frank J. Fabozzi Investment Performance Measurement by Bruce J. Feibel The Handbook of Equity Style Management edited by T. Daniel Coggin and Frank J. Fabozzi The Theory and Practice of Investment Management edited by Frank J. Fabozzi and Harry M. Markowitz Foundations of Economic Value Added, Second Edition by James L. Grant Financial Management and Analysis, Second Edition by Frank J. Fabozzi and Pamela P. Peterson Measuring and Controlling Interest Rate and Credit Risk, Second Edition by Frank J. Fabozzi, Steven V. Mann, and Moorad Choudhry Professional Perspectives on Fixed Income Portfolio Management, Volume 4 edited by Frank J. Fabozzi
    The Handbook of European Fixed Income Securities edited by Frank J. Fabozzi and Moorad Choudhry The Handbook of European Structured Financial Products edited by Frank J. Fabozzi and Moorad Choudhry The Mathematics of Financial Modeling and Investment Management by Sergio M. Focardi and Frank J. Fabozzi Short Selling: Strategies, Risks, and Rewards edited by Frank J. Fabozzi The Real Estate Investment Handbook by G. Timothy Haight and Daniel Singer Market Neutral Strategies edited by Bruce I. Jacobs and Kenneth N. Levy Securities Finance: Securities Lending and Repurchase Agreements edited by Frank J. Fabozzi and Steven V. Mann Fat-Tailed and Skewed Asset Return Distributions by Svetlozar T. Rachev, Christian Menn, and Frank J. Fabozzi Financial Modeling of the Equity Market: From CAPM to Cointegration by Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies edited by Frank J. Fabozzi, Lionel Martellini, and Philippe Priaulet Analysis of Financial Statements, Second Edition by Pamela P. Peterson and Frank J. Fabozzi Collateralized Debt Obligations: Structures and Analysis, Second Edition by Douglas J. Lucas, Laurie S. Goodman, and Frank J. Fabozzi Handbook of Alternative Assets, Second Edition by Mark J. P. Anson Introduction to Structured Finance by Frank J. Fabozzi, Henry A. Davis, and Moorad Choudhry Financial Econometrics by Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, and Teo Jasic Developments in Collateralized Debt Obligations: New Products and Insights by Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi, and Rebecca J. Manning Robust Portfolio Optimization and Management by Frank J. Fabozzi, Peter N. Kolm, Dessislava A. Pachamanova, and Sergio M. Focardi Advanced Stochastic Models, Risk Assessment, and Portfolio Optimizations by Svetlozar T. Rachev, Stogan V. Stoyanov, and Frank J. Fabozzi
    How to Select Investment Managers and Evaluate Performance by G. Timothy Haight, Stephen O. Morrell, and Glenn E. Ross Bayesian Methods in Finance by Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva, and Frank J. Fabozzi The Handbook of Municipal Bonds edited by Sylvan G. Feldstein and Frank J. Fabozzi Subprime Mortgage Credit Derivatives by Laurie S. Goodman, Shumin Li, Douglas J. Lucas, Thomas A Zimmerman, and Frank J. Fabozzi Introduction to Securitization by Frank J. Fabozzi and Vinod Kothari Structured Products and Related Credit Derivatives edited by Brian P. Lancaster, Glenn M. Schultz, and Frank J. Fabozzi Handbook of Finance: Volume I: Financial Markets and Instruments edited by Frank J. Fabozzi Handbook of Finance: Volume II: Financial Management and Asset Man- agement edited by Frank J. Fabozzi Handbook of Finance: Volume III: Valuation, Financial Modeling, and Quantitative Tools edited by Frank J. Fabozzi Finance: Capital Markets, Financial Management, and Investment Manage- ment by Frank J. Fabozzi and Pamela Peterson-Drake Active Private Equity Real Estate Strategy edited by David J. Lynn Foundations and Applications of the Time Value of Money by Pamela Peterson-Drake and Frank J. Fabozzi Leveraged Finance: Concepts, Methods, and Trading of High-Yield Bonds, Loans, and Derivatives by Stephen Antczak, Douglas Lucas, and Frank J. Fabozzi Modern Financial Systems: Theory and Applications by Edwin Neave Institutional Investment Management: Equity and Bond Portfolio Strategies and Applications by Frank J. Fabozzi
    Robust Equity Portfolio Management + Website Formulations, Implementations, and Properties Using MATLAB WOO CHANG KIM JANG HO KIM FRANK J. FABOZZI
    Copyright © 2016 by Woo Chang Kim, Jang Ho Kim, and Frank J. Fabozzi. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the Web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at http://www.wiley.com/go/permissions. Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages. For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at (800) 762-2974, outside the United States at (317) 572-3993 or fax (317) 572-4002. Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley .com. For more information about Wiley products, visit www.wiley.com. Library of Congress Cataloging-in-Publication Data Names: Kim, Woo Chang. | Kim, Jang-Ho. | Fabozzi, Frank J. Title: Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB / Woo Chang Kim, Jang Ho Kim, Frank J. Fabozzi. Description: Hoboken : Wiley, 2015. | Series: Frank J. Fabozzi series | Includes index. Identifiers: LCCN 2015030347 | ISBN 9781118797266 (hardback) | ISBN 9781118797303 (epdf) | ISBN 9781118797372 (epub) Subjects: LCSH: Porffolio management. | Investments–Mathematical models. | Investment analysis–Mathematical models. | BISAC: BUSINESS & ECONOMICS / Investments & Securities. Classification: LCC HG4529.5 .K556 2015 | DDC 332.60285/53–dc23 LC record available at http://lccn.loc.gov/2015030347 Cover Design: Wiley Cover Image: © Danil Melekhin/Getty Images, Inc. Printed in the United States of America 10 9 8 7 6 5 4 3 2 1
    分享到：
    赞 收藏

    相关推荐

    资料库

    行业

    共收录7266份资料，累计15个分类，关注成员有19位，主要包括：物流,旅游,餐饮零售,网络游戏,咨询,金融,电子政务,外包,教育,制造,医疗,嵌入式,互联网,交通,电信

    热门标签

    物流 旅游 餐饮零售 网络游戏 咨询 金融 电子政务 外包 教育 制造 医疗 嵌入式 互联网 交通 电信

    最新资料