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 linearly constrained model. It explains

List of contents

Optimization. The Efficient Frontier. The Capital Asset Pricing Model. Sharpe Ratios and Implied Risk-Free Returns. Quadratic Programming Geometry. A QP Solution Algorithm. Portfolio Optimization with Linear Inequality Constraints. Determination of the Entire Efficient Frontier. Sharpe Ratios under Constraints and Kinks. Appendix. References.

About the author

Michael J. Best is a professor in the Department of Combinatorics and Optimization at the University of Waterloo in Ontario, Canada. He received his Ph.D. from the Department of Industrial Engineering and Operations Research at the University of California, Berkeley. Dr. Best has authored over 37 papers on finance and nonlinear programming and co-authored a textbook on linear programming. He also has been a consultant to Bank of America, Ibbotson Associates, Montgomery Assets Management, Deutsche Bank, Toronto Dominion Bank, and Black Rock-Merrill Lynch.

Summary

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. It explains

Product details

• Authors: Michael J. Best, Michael J. (University of Waterloo Best, Best Michael J.
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Paperback / Softback
• Released: 14.10.2024
• EAN: 9781032925967
• ISBN: 978-1-0-3292596-7
• No. of pages: 238
• Series: Chapman and Hall/CRC Financial Mathematics Series
• Subjects: Humanities, art, music > Art > Interior design, design; Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Product Design, Economics, BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / General, MATHEMATICS / Applied, TECHNOLOGY & ENGINEERING / Operations Research, environmental science, engineering & technology, Finance & accounting, Applied mathematics, Engineering: general, Environmental science, engineering and technology, Finance and accounting