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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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Best, Michael (Auteur)
Collectivité auteur: Safari, an O'Reilly Media Company
Format: Électronique eBook
Langue:Inglés
Publié: [Place of publication not identified] : Chapman and Hall/CRC, 2010.
Édition:1st edition.
Collection:Chapman & Hall/CRC finance series.
Sujets:
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.
Accès en ligne:Texto completo (Requiere registro previo con correo institucional)
Table des matières:
  • 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.

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