Portfolio optimization
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 student...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Boca Raton :
CRC Press
2010.
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| Edición: | 1st edition |
| Colección: | Chapman & Hall/CRC finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629472006719 |
Tabla de Contenidos:
- 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.
