Portfolio Optimization

Portfolio Optimization

by Michael J. Best
Released March 2010
Publisher(s): Chapman and Hall/CRC
ISBN: 9781439882733

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Book description

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

Table of contents

  1. Cover
  2. Title
  3. Copyright
  4. Contents
  5. Preface
  6. Acknowledgments
  7. About the Author
  8. Chapter 1: Optimization (1/4)
  9. Chapter 1: Optimization (2/4)
  10. Chapter 1: Optimization (3/4)
  11. Chapter 1: Optimization (4/4)
  12. Chapter 2: The Effcient Frontier (1/4)
  13. Chapter 2: The Effcient Frontier (2/4)
  14. Chapter 2: The Effcient Frontier (3/4)
  15. Chapter 2: The Effcient Frontier (4/4)
  16. Chapter 3: The Capital Asset Pricing Model (1/4)
  17. Chapter 3: The Capital Asset Pricing Model (2/4)
  18. Chapter 3: The Capital Asset Pricing Model (3/4)
  19. Chapter 3: The Capital Asset Pricing Model (4/4)
  20. Chapter 4: Sharpe Ratios and Implied Risk Free Returns (1/5)
  21. Chapter 4: Sharpe Ratios and Implied Risk Free Returns (2/5)
  22. Chapter 4: Sharpe Ratios and Implied Risk Free Returns (3/5)
  23. Chapter 4: Sharpe Ratios and Implied Risk Free Returns (4/5)
  24. Chapter 4: Sharpe Ratios and Implied Risk Free Returns (5/5)
  25. Chapter 5: Quadratic Programming Geometry (1/6)
  26. Chapter 5: Quadratic Programming Geometry (2/6)
  27. Chapter 5: Quadratic Programming Geometry (3/6)
  28. Chapter 5: Quadratic Programming Geometry (4/6)
  29. Chapter 5: Quadratic Programming Geometry (5/6)
  30. Chapter 5: Quadratic Programming Geometry (6/6)
  31. Chapter 6: A QP Solution Algorithm (1/7)
  32. Chapter 6: A QP Solution Algorithm (2/7)
  33. Chapter 6: A QP Solution Algorithm (3/7)
  34. Chapter 6: A QP Solution Algorithm (4/7)
  35. Chapter 6: A QP Solution Algorithm (5/7)
  36. Chapter 6: A QP Solution Algorithm (6/7)
  37. Chapter 6: A QP Solution Algorithm (7/7)
  38. Chapter 7: Portfolio Optimization with Constraints (1/6)
  39. Chapter 7: Portfolio Optimization with Constraints (2/6)
  40. Chapter 7: Portfolio Optimization with Constraints (3/6)
  41. Chapter 7: Portfolio Optimization with Constraints (4/6)
  42. Chapter 7: Portfolio Optimization with Constraints (5/6)
  43. Chapter 7: Portfolio Optimization with Constraints (6/6)
  44. Chapter 8: Determination of the Entire Efficient Frontier (1/6)
  45. Chapter 8: Determination of the Entire Efficient Frontier (2/6)
  46. Chapter 8: Determination of the Entire Efficient Frontier (3/6)
  47. Chapter 8: Determination of the Entire Efficient Frontier (4/6)
  48. Chapter 8: Determination of the Entire Efficient Frontier (5/6)
  49. Chapter 8: Determination of the Entire Efficient Frontier (6/6)
  50. Chapter 9: Sharpe Ratios under Constraints, and Kinks (1/5)
  51. Chapter 9: Sharpe Ratios under Constraints, and Kinks (2/5)
  52. Chapter 9: Sharpe Ratios under Constraints, and Kinks (3/5)
  53. Chapter 9: Sharpe Ratios under Constraints, and Kinks (4/5)
  54. Chapter 9: Sharpe Ratios under Constraints, and Kinks (5/5)
  55. Appendix
  56. References
  57. Index

Product information

  • Title: Portfolio Optimization
  • Author(s): Michael J. Best
  • Release date: March 2010
  • Publisher(s): Chapman and Hall/CRC
  • ISBN: 9781439882733