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

Content: The Frank J. Fabozzi Series
 Title Page
 Copyright
 Table of Contents
 Dedication
 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 PointsNotes
 Chapter 4: Robust Approaches for Portfolio Selection
 4.1 Robustness
 4.2 Robust statistics
 4.3 Shrinkage Estimation
 4.4 Monte Carlo Simulation
 4.5 Constraining Portfolio Weights
 4.6 Bayesian Approach
 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
 5.3 Robust Counterparts
 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 Uncertainty6.5 Robust Portfolios with Ellipsoidal Uncertainty
 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 Arguments8.4 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 Measures10.2 Historical Performance of Robust Portfolios
 10.3 Measuring Robustness
 Key Points
 Notes
 Chapter 11: Robust Optimization Software
 11.1 YALMIP
 11.2 ROME (Robust Optimization Made Easy)
 11.3 AIMMS
 Key Points
 Notes
 About the Authors
 About the Companion Website
 Index
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