Portfolio optimization / Michael J. Best.

Format:

Book

Author/Creator:

Best, Michael J., author.

Series:

Chapman & Hall/CRC finance series.

Chapman & Hall/CRC finance series

Language:

English

Subjects (All):

Portfolio management.

Investment analysis.

Stocks.

Investments.

Physical Description:

1 online resource (237 p.)

Edition:

1st edition

Place of Publication:

Boca Raton : CRC Press, 2010.

Language Note:

English

System Details:

text file

Summary:

Michael Best's book is the ideal combination of optimization and portfolio theory. Mike has provided a wealth of practical examples in MATLAB to give students hands-on portfolio optimization experience. The included stand-alone MATLAB code even provides its own quadratic solver, so that students do not need to rely on any external packages.-David Starer, Stevens Institute of TechnologyOverall, this is a nice book that would be ideal as a textbook for one-semester portfolio optimization courses. It can also be good as a supplementary text for courses in operations research and/or financial engi

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.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781040075395

1040075398

9780429184796

0429184794

9781420085853

1420085859

9781439882733

1439882738

OCLC:

892703195