A COMPREHENSIVE REVIEW OF ROBUST PORTFOLIO OPTIMIZATION

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. Develop your skills on the accompanying website where you can safely apply what you learned and experiment with constructing robust portfolios for equity portfolio management. This groundbreaking book:

• Introduces the mean-variance model, discusses its shortcomings, and explains common approaches for increasing the robustness of portfolios
• Contains an overview of optimization and details the steps involved in formulating a robust portfolio optimization problem
• Focuses on analyzing robust portfolios constructed from robust portfolio optimization by identifying attributes and summarizing performances

Robust Equity Portfolio Management prepares you to solve all possible uncertainties, which is a good strategy in any market.

Since Harry Markowitz published his mean-variance model in 1952, numerous extensions have followed attempting to overcome its limitations. Robust Equity Portfolio Management provides singular coverage on one of these extensions--the construction of robust portfolios for equity portfolio management within the mean-variance framework.

Whether you have no background in portfolio management and optimization or want to add quantitative robust equity portfolio management to your skill set, this versatile guide offers step-by-step instruction on the theory and mechanics you need to use robust models for optimal portfolio construction. After an insightful primer on portfolio theory and optimization supported by programming examples, coverage advances to robust formulations, implementation of robust portfolio optimization, attributes of robust portfolios, and robust portfolio performance. Financial professionals and newcomers alike will benefit from:

• Peerless depth and focus of 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

Set yourself apart with the specialized training to explore advanced methods for improving portfolio robustness with Robust Equity Portfolio Management.