Portfolio optimization:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Boca Raton, Fla. [u.a.]
CRC Press
2010
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| Series: | Chapman & Hall/CRC finance series
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 222 S. graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 1420085840 9781420085846 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Titel: Portfolio optimization
Autor: Best, Michael J.
Jahr: 2010
Contents
Preface ix
Acknowledgments xii
About the Author xii
Chapter 1 Optimization 1
1.1 Quadratic Minimization................. 1
1.2 Nonlinear Optimization.................. 8
1.3 Extreme Points...................... 12
1.4 Computer Results..................... 15
1.5 Exercises.......................... 18
Chapter 2 The Efficient Frontier 21
2.1 The Efficient Frontier .................. 21
2.2 Computer Programs ................... 33
2.3 Exercises.......................... 36
Chapter 3 The Capital Asset Pricing Model 41
3.1 The Capital Market Line................. 41
3.2 The Security Market Line................ 51
3.3 Computer Programs ................... 54
3.4 Exercises.......................... 58
Chapter 4 Sharpe Ratios and Implied Risk Free Returns 59
4.1 Direct Derivation..................... 60
4.2 Optimization Derivation................. 66
vn
4.3 Free Problem Solutions.................. 73
4.4 Computer Programs ................... 75
4.5 Exercises.......................... 78
Chapter 5 Quadratic Programming Geometry 81
5.1 The Geometry of QPs .................. 81
5.2 Geometry of QP Optimality Conditions......... 86
5.3 The Geometry of Quadratic Functions......... 92
5.4 Optimality Conditions for QPs ............. 96
5.5 Exercises........................... 103
Chapter 6 A QP Solution Algorithm 107
6.1 QPSolver: A QP Solution Algorithm.......... 108
6.2 Computer Programs ................... 127
6.3 Exercises.......................... 136
Chapter 7 Portfolio Optimization with Constraints 139
7.1 Linear Inequality Constraints: An Example....... 140
7.2 The General Case..................... 151
7.3 Computer Results..................... 159
7.4 Exercises.......................... 163
Chapter 8 Determination of the Entire Efficient Frontier 165
8.1 The Entire Efficient Frontier............... 165
8.2 Computer Results..................... 183
8.3 Exercises.......................... 189
Chapter 9 Sharpe Ratios under Constraints, and Kinks 191
9.1 Sharpe Ratios under Constraints ............ 191
9.2 Kinks and Sharpe Ratios ................ 199
9.3 Computer Results..................... 211
9.4 Exercises.......................... 213
Appendix 215
References 217
Index 221
vm
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| discipline | Mathematik Wirtschaftswissenschaften |
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| isbn | 1420085840 9781420085846 |
| language | English |
| lccn | 2009053431 |
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| physical | XIII, 222 S. graph. Darst. 1 CD-ROM (12 cm) |
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| spelling | Best, Michael J. Verfasser (DE-588)170596389 aut Portfolio optimization Michael J. Best Boca Raton, Fla. [u.a.] CRC Press 2010 XIII, 222 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC finance series Portfolio management Investment analysis Stocks Investments Portfolio-analyse gtt Wiskundige economie gtt Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s DE-604 Portfolio Selection (DE-588)4046834-3 s Erscheint auch als Online-Ausgabe, PDF 9780429184796 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019001201&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Best, Michael J. Portfolio optimization Portfolio management Investment analysis Stocks Investments Portfolio-analyse gtt Wiskundige economie gtt Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4046834-3 |
| title | Portfolio optimization |
| title_auth | Portfolio optimization |
| title_exact_search | Portfolio optimization |
| title_full | Portfolio optimization Michael J. Best |
| title_fullStr | Portfolio optimization Michael J. Best |
| title_full_unstemmed | Portfolio optimization Michael J. Best |
| title_short | Portfolio optimization |
| title_sort | portfolio optimization |
| topic | Portfolio management Investment analysis Stocks Investments Portfolio-analyse gtt Wiskundige economie gtt Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Portfolio management Investment analysis Stocks Investments Portfolio-analyse Wiskundige economie Portfoliomanagement Portfolio Selection |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019001201&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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