Verfügbarkeit: Portfolio optimization | Technische Universität München

Portfolio optimization:

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Bibliographische Detailangaben
Beteilige Person:	Best, Michael J. (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	Boca Raton, Fla. [u.a.] CRC Press 2010
Schriftenreihe:	Chapman & Hall/CRC finance series
Schlagwörter:	Portfolio management Investment analysis Stocks Investments Portfolio-analyse Wiskundige economie Portfoliomanagement Portfolio Selection
Links:	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
Umfang:	XIII, 222 S. graph. Darst. 1 CD-ROM (12 cm)
ISBN:	1420085840 9781420085846

Internformat

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Datensatz im Suchindex

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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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id	DE-604.BV036111015
illustrated	Illustrated
indexdate	2024-12-20T14:07:22Z
institution	BVB
isbn	1420085840 9781420085846
language	English
lccn	2009053431
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-019001201
oclc_num	610567498
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physical	XIII, 222 S. graph. Darst. 1 CD-ROM (12 cm)
publishDate	2010
publishDateSearch	2010
publishDateSort	2010
publisher	CRC Press
record_format	marc
series2	Chapman & Hall/CRC finance series
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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