user
0
Su pedido

Tu pedido

Su carro de la compra está vacío

Materias

Portfolio Optimization

Portfolio Optimization

Compartir en:

(0 Comentarios)
Comenta y valora este libro

pvp.72,80 €

Sin Stock. Posibilidad entre 11 y 20 dias

  • ISBN:9781420085846
  • Editorial: Chapman & Hall Co.
  • Fecha de la edición:
  • Encuadernación:
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:236
  • Idiomas:

Materias:

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 how the basic portfolio optimization problem can help determine the optimal investment of an investor's wealth in each asset owned. Along with end-of-chapter exercises, the text includes MATLAB[registered] to help with problem solving and offers the programs on a CD-ROM. A solutions manual is available for qualifying instructors.

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.

Otros libros de Best, Michael

Otros libros de Inversión y Financiación