rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Portfolio Optimization
  name:
    name part: Best, Michael
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Taylor & Francis
  name:
    name part: O'Reilly for Higher Education (Firm)
    role:
      role term: distributor.
  name:
    name part: Safari, an O'Reilly Media Company
  type of resource: text
  genre: Electronic books.
  origin info:
    place:
      place term: xx
    date issued: 2010
    edition: 1st edition.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (238 pages).
  abstract: 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 linearly constrained model. Only requiring elementary linear algebra, the text begins with the necessary and sufficient conditions for optimal quadratic minimization that is subject to linear equality constraints. It then develops the key properties of the efficient frontier, extends the results to problems with a risk-free asset, and presents Sharpe ratios and implied risk-free rates. After focusing on quadratic programming, the author discusses a constrained portfolio optimization problem and uses an algorithm to determine the entire (constrained) efficient frontier, its corner portfolios, the piecewise linear expected returns, and the piecewise quadratic variances. The final chapter illustrates infinitely many implied risk returns for certain market portfolios. Drawing on the author's experiences in the academic world and as a consultant to many financial institutions, this text provides a hands-on foundation in portfolio optimization. Although the author clearly describes how to implement each technique by hand, he includes several MATLAB (R) programs designed to implement the methods and offers these programs on the accompanying CD-ROM.
  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.
  target audience: adult
  note: Best, Michael.
  note: Made available through: Safari, an O'Reilly Media Company.
  note: Includes bibliographical references and index.
  subject:
    topic: Portfolio management
    topic: Mathematics
  subject:
    topic: Investments
  subject:
    topic: Stocks
  subject:
    topic: Investment analysis
  subject:
    topic: Portfolio management
  subject:
    topic: Mathematical optimization
  subject:
    topic: Investments
  subject:
    topic: Gestion de portefeuille
    topic: Mathématiques
  subject:
    topic: Investissements
  subject:
    topic: Actions (Titres de société)
  subject:
    topic: Analyse financière
  subject:
    topic: Gestion de portefeuille
  subject:
    topic: Optimisation mathématique
  subject:
    topic: Stocks
  subject:
    topic: Portfolio management
  subject:
    topic: Investments
  subject:
    topic: Investment analysis
  subject:
    topic: Portfolio management
    topic: Mathematics
  subject:
    topic: Mathematical optimization
  classification: HG4529.5 .B515 2010
  classification: 332.63/2042
  related item:
    title info:
      title: Portfolio optimization
    name:
      name part: Best, Michael J.
    origin info:
      publisher: Boca Raton : Chapman & Hall/CRC, ©2010
    identifier: (DLC) 2009053431
    identifier: (OCoLC)212844205
  related item:
    title info:
      title: Chapman & Hall/CRC finance series
  identifier: 9781439882733
  identifier: 1439882738
  identifier: 9781420085853
  identifier: 1420085859
  identifier: 9781420085846
  identifier: 1420085840
  identifier: 2009053431
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: TOH
    record creation date: 210101
    record change date: 20241111204832.0
    record identifier: in00005528847
    language of cataloging:
      language term: eng