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Portfolio Optimization
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Table of Contents

Optimization
Quadratic Minimization
Nonlinear Optimization
Extreme Points
Computer Results

The Efficient Frontier
The Efficient Frontier
Computer Results

The Capital Asset Pricing Model
The Capital Market Line
The Security Market Line
Computer Results

Sharpe Ratios and Implied Risk-Free Returns
Direct Derivation
Optimization Derivation
Free Solutions to Problems
Computer Results

Quadratic Programming Geometry
Geometry of Quadratic Programs (QPs)
The Geometry of QP Optimality Conditions
The Geometry of Quadratic Functions
Optimality Conditions for QPs

A QP Solution Algorithm
QPSolver: A QP Solution Algorithm
Computer Results

Portfolio Optimization with Linear Inequality Constraints
An Example
The General Case
Computer Results

Determination of the Entire Efficient Frontier
PQPSolver: Generates the Entire Efficient Frontier
Computer Results

Sharpe Ratios under Constraints and Kinks
Sharpe Ratios under Constraints
Kinks and Sharpe Ratios
Computer Results

Appendix

References

Exercises appear at the end of each chapter.

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.

Reviews

! an excellent companion text for the course 'Discrete-Time Models in Finance' that I have been teaching in the past years. ! I think adding your text can make the course more lively. This is what I plan to do in the coming (fall) semester. --Edward P. Kao, University of Houston, Texas, USA

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