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Portfolio Optimization /

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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: Taylor & Francis, Safari, an O'Reilly Media Company
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
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.