Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB

259 Pages·2015·4.918 MB·English

by  Fabozzi, Frank J., Kim, Jang-Ho, Kim, Woo Chang

Robust Equity
Portfolio
Management
+
Website
The Frank J. Fabozzi Series
FixedIncomeSecurities,SecondEditionbyFrankJ.Fabozzi
Focus on Value: A Corporate and Investor Guide to Wealth Creation by
JamesL.GrantandJamesA.Abate
HandbookofGlobalFixedIncomeCalculationsbyDragomirKrgin
Managing a Corporate Bond Portfolio by Leland E. Crabbe and Frank
J.Fabozzi
RealOptionsandOption-EmbeddedSecuritiesbyWilliamT.Moore
Capital Budgeting: Theory and Practice by Pamela P. Peterson and Frank
J.Fabozzi
TheExchange-TradedFundsManualbyGaryL.Gastineau
ProfessionalPerspectivesonFixedIncomePortfolioManagement,Volume3
editedbyFrankJ.Fabozzi
InvestinginEmergingFixedIncomeMarketseditedbyFrankJ.Fabozziand
EfstathiaPilarinu
HandbookofAlternativeAssetsbyMarkJ.P.Anson
The Global Money Markets by Frank J. Fabozzi, Steven V. Mann, and
MooradChoudhry
TheHandbookofFinancialInstrumentseditedbyFrankJ.Fabozzi
Interest Rate, Term Structure, and Valuation Modeling edited by Frank
J.Fabozzi
InvestmentPerformanceMeasurement byBruceJ.Feibel
TheHandbookofEquityStyleManagementeditedbyT.DanielCogginand
FrankJ.Fabozzi
The Theory and Practice of Investment Management edited by Frank
J.FabozziandHarryM.Markowitz
FoundationsofEconomicValueAdded,SecondEditionbyJamesL.Grant
Financial Management and Analysis, Second Edition by Frank J. Fabozzi
andPamelaP.Peterson
Measuring and Controlling Interest Rate and Credit Risk, Second Edition
byFrankJ.Fabozzi,StevenV.Mann,andMooradChoudhry
ProfessionalPerspectivesonFixedIncomePortfolioManagement,Volume4
editedbyFrankJ.Fabozzi
The Handbook of European Fixed Income Securities edited by Frank
J.FabozziandMooradChoudhry
TheHandbookofEuropeanStructuredFinancialProductseditedbyFrank
J.FabozziandMooradChoudhry
The Mathematics of Financial Modeling and Investment Management by
SergioM.FocardiandFrankJ.Fabozzi
ShortSelling:Strategies,Risks,andRewardseditedbyFrankJ.Fabozzi
The Real Estate Investment Handbook by G. Timothy Haight and Daniel
Singer
MarketNeutralStrategieseditedbyBruceI.JacobsandKennethN.Levy
SecuritiesFinance:SecuritiesLendingandRepurchaseAgreementseditedby
FrankJ.FabozziandStevenV.Mann
Fat-Tailed and Skewed Asset Return Distributions by Svetlozar T. Rachev,
ChristianMenn,andFrankJ.Fabozzi
FinancialModelingoftheEquityMarket:FromCAPMtoCointegrationby
FrankJ.Fabozzi,SergioM.Focardi,andPetterN.Kolm
Advanced Bond Portfolio Management: Best Practices in Modeling and
Strategies edited by Frank J. Fabozzi, Lionel Martellini, and Philippe
Priaulet
AnalysisofFinancialStatements,SecondEditionbyPamelaP.Petersonand
FrankJ.Fabozzi
CollateralizedDebtObligations:StructuresandAnalysis,SecondEditionby
DouglasJ.Lucas,LaurieS.Goodman,andFrankJ.Fabozzi
HandbookofAlternativeAssets,SecondEditionbyMarkJ.P.Anson
Introduction to Structured Finance by Frank J. Fabozzi, Henry A. Davis,
andMooradChoudhry
Financial Econometrics by Svetlozar T. Rachev, Stefan Mittnik, Frank
J.Fabozzi,SergioM.Focardi,andTeoJasic
Developments in Collateralized Debt Obligations: New Products and
Insights by Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi, and
RebeccaJ.Manning
RobustPortfolioOptimizationandManagementbyFrankJ.Fabozzi,Peter
N.Kolm,DessislavaA.Pachamanova,andSergioM.Focardi
AdvancedStochasticModels,RiskAssessment,andPortfolioOptimizations
bySvetlozarT.Rachev,StoganV.Stoyanov,andFrankJ.Fabozzi
How to Select Investment Managers and Evaluate Performance by
G.TimothyHaight,StephenO.Morrell,andGlennE.Ross
BayesianMethodsinFinancebySvetlozarT.Rachev,JohnS.J.Hsu,Biliana
S.Bagasheva,andFrankJ.Fabozzi
TheHandbookofMunicipalBondseditedbySylvanG.FeldsteinandFrank
J.Fabozzi
Subprime Mortgage Credit Derivatives by Laurie S. Goodman, Shumin Li,
DouglasJ.Lucas,ThomasAZimmerman,andFrankJ.Fabozzi
IntroductiontoSecuritizationbyFrankJ.FabozziandVinodKothari
Structured Products and Related Credit Derivatives edited by Brian
P.Lancaster,GlennM.Schultz,andFrankJ.Fabozzi
HandbookofFinance:VolumeI:FinancialMarketsandInstrumentsedited
byFrankJ.Fabozzi
Handbook of Finance: Volume II: Financial Management and Asset Man-
agementeditedbyFrankJ.Fabozzi
Handbook of Finance: Volume III: Valuation, Financial Modeling, and
QuantitativeToolseditedbyFrankJ.Fabozzi
Finance:CapitalMarkets,FinancialManagement,andInvestmentManage-
mentbyFrankJ.FabozziandPamelaPeterson-Drake
ActivePrivateEquityRealEstateStrategyeditedbyDavidJ.Lynn
Foundations and Applications of the Time Value of Money by Pamela
Peterson-DrakeandFrankJ.Fabozzi
Leveraged Finance: Concepts, Methods, and Trading of High-Yield Bonds,
Loans, and Derivatives by Stephen Antczak, Douglas Lucas, and Frank
J.Fabozzi
ModernFinancialSystems:TheoryandApplicationsbyEdwinNeave
InstitutionalInvestmentManagement:EquityandBondPortfolioStrategies
andApplicationsbyFrankJ.Fabozzi
Robust Equity
Portfolio
Management
+
Website
Formulations, Implementations,
and Properties Using MATLAB
WOO CHANG KIM
JANG HO KIM
FRANK J. FABOZZI
Copyright©2016byWooChangKim,JangHoKim,andFrankJ.Fabozzi.Allrights
reserved.
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LibraryofCongressCataloging-in-PublicationData
Names:Kim,WooChang.|Kim,Jang-Ho.|Fabozzi,FrankJ.
Title:Robustequityportfoliomanagement+website:formulations,
implementations,andpropertiesusingMATLAB/WooChangKim,JangHoKim,
FrankJ.Fabozzi.
Description:Hoboken:Wiley,2015.|Series:FrankJ.Fabozziseries|
Includesindex.
Identifiers:LCCN2015030347|ISBN9781118797266(hardback)|
ISBN9781118797303(epdf)|ISBN9781118797372(epub)
Subjects:LCSH:Porffoliomanagement.|Investments–Mathematicalmodels.|
Investmentanalysis–Mathematicalmodels.|BISAC:BUSINESS&ECONOMICS/
Investments&Securities.
Classification:LCCHG4529.5.K5562015|DDC332.60285/53–dc23LCrecord
availableathttp://lccn.loc.gov/2015030347
CoverDesign:Wiley
CoverImage:©DanilMelekhin/GettyImages,Inc.
PrintedintheUnitedStatesofAmerica
10 9 8 7 6 5 4 3 2 1
WCK
To my daughter, Joohyung
JHK
To my wife, Insun Jung
FJF
To my sister, Lucy