Portfolio Optimization /

Eschewing a more theoretical approach, Portfolio Optimization shows how the mathematical tools of linear algebra and optimization can quickly and clearly formulate important ideas on the subject. This practical book extends the concepts of the Markowitz "budget constraint only" model to a...

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Bibliographic Details
Main Author:	Best, Michael (Author)
Corporate Authors:	Safari, an O'Reilly Media Company, Taylor & Francis
Format:	eBook
Language:	English
Published:	[Place of publication not identified] : Chapman and Hall/CRC, 2010.
Edition:	1st edition.
Series:	Chapman & Hall/CRC finance series.
Subjects:	Portfolio management > Mathematics. Investments. Stocks. Investment analysis. Portfolio management. Mathematical optimization. Investments Gestion de portefeuille > Mathématiques. Investissements. Actions (Titres de société) Analyse financière. Gestion de portefeuille. Optimisation mathématique. Stocks Portfolio management Investment analysis Portfolio management > Mathematics Mathematical optimization Electronic books.
Online Access:	Connect to the full text of this electronic book Connect to the full text of this electronic book

Table of Contents:

Ch. 1. Optimization
ch. 2. The efficient frontier
ch. 3. The capital asset pricing model
ch. 4. Sharpe ratios and implied risk free returns
ch. 5. Quadratic programming geometry
ch. 6. A QP solution algorithm
ch. 7. Portfolio optimization with constraints
ch. 8. Determination of the entire efficient frontier
ch. 9. Sharpe ratios under constraints and kinks.