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Preface xi
CHAPTER 1 Introduction 1
CHAPTER 2 Mean-Variance Portfolio Selection 6
CHAPTER 3 Shortcomings of Mean-Variance Analysis 22
CHAPTER 4 Robust Approaches for Portfolio Selection 39
CHAPTER 5 Robust Optimization 66
CHAPTER 6 Robust Portfolio Construction 95
CHAPTER 7 Controlling Third and Fourth Moments of Portfolio Returns via Robust Mean-Variance Approach 122
CHAPTER 8 Higher Factor Exposures of Robust Equity Portfolios 137
CHAPTER 9 Composition of Robust Portfolios 164
CHAPTER 10 Robust Portfolio Performance 185
CHAPTER 11 Robust Optimization Software 216
About the Authors 231
About the Companion Website 233
Index 235
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Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB by Woo Chang Kim. ISBN 9781118797303. Published by Wiley in 2015. Publication and catalogue information, links to buy online and reader comments.