Portfolio Optimization:
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...
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Körperschaften: | , |
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
[Place of publication not identified]
Chapman and Hall/CRC
2010
|
| Ausgabe: | 1st edition. |
| Schriftenreihe: | Chapman & Hall/CRC finance series
|
| Schlagwörter: | |
| Links: | https://learning.oreilly.com/library/view/-/9781439882733/?ar |
| Zusammenfassung: | 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. Only requiring elementary linear algebra, the text begins with the necessary and sufficient conditions for optimal quadratic minimization that is subject to linear equality constraints. It then develops the key properties of the efficient frontier, extends the results to problems with a risk-free asset, and presents Sharpe ratios and implied risk-free rates. After focusing on quadratic programming, the author discusses a constrained portfolio optimization problem and uses an algorithm to determine the entire (constrained) efficient frontier, its corner portfolios, the piecewise linear expected returns, and the piecewise quadratic variances. The final chapter illustrates infinitely many implied risk returns for certain market portfolios. Drawing on the author's experiences in the academic world and as a consultant to many financial institutions, this text provides a hands-on foundation in portfolio optimization. Although the author clearly describes how to implement each technique by hand, he includes several MATLAB (R) programs designed to implement the methods and offers these programs on the accompanying CD-ROM. |
| Beschreibung: | Includes bibliographical references and index. - Online resource; Title from title page (viewed March 9, 2010) |
| Umfang: | 1 Online-Ressource (238 Seiten). |
| ISBN: | 9781439882733 1439882738 9781420085853 1420085859 |
Internformat
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| 500 | |a Includes bibliographical references and index. - Online resource; Title from title page (viewed March 9, 2010) | ||
| 520 | |a 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. Only requiring elementary linear algebra, the text begins with the necessary and sufficient conditions for optimal quadratic minimization that is subject to linear equality constraints. It then develops the key properties of the efficient frontier, extends the results to problems with a risk-free asset, and presents Sharpe ratios and implied risk-free rates. After focusing on quadratic programming, the author discusses a constrained portfolio optimization problem and uses an algorithm to determine the entire (constrained) efficient frontier, its corner portfolios, the piecewise linear expected returns, and the piecewise quadratic variances. The final chapter illustrates infinitely many implied risk returns for certain market portfolios. Drawing on the author's experiences in the academic world and as a consultant to many financial institutions, this text provides a hands-on foundation in portfolio optimization. Although the author clearly describes how to implement each technique by hand, he includes several MATLAB (R) programs designed to implement the methods and offers these programs on the accompanying CD-ROM. | ||
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| id | ZDB-30-ORH-050574787 |
| illustrated | Not Illustrated |
| indexdate | 2025-01-17T11:20:50Z |
| institution | BVB |
| isbn | 9781439882733 1439882738 9781420085853 1420085859 |
| language | English |
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| physical | 1 Online-Ressource (238 Seiten). |
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| publishDate | 2010 |
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| publisher | Chapman and Hall/CRC |
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| series2 | Chapman & Hall/CRC finance series |
| spelling | Best, Michael VerfasserIn aut Portfolio Optimization Best, Michael 1st edition. [Place of publication not identified] Chapman and Hall/CRC 2010 1 Online-Ressource (238 Seiten). Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Chapman & Hall/CRC finance series Includes bibliographical references and index. - Online resource; Title from title page (viewed March 9, 2010) 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. Only requiring elementary linear algebra, the text begins with the necessary and sufficient conditions for optimal quadratic minimization that is subject to linear equality constraints. It then develops the key properties of the efficient frontier, extends the results to problems with a risk-free asset, and presents Sharpe ratios and implied risk-free rates. After focusing on quadratic programming, the author discusses a constrained portfolio optimization problem and uses an algorithm to determine the entire (constrained) efficient frontier, its corner portfolios, the piecewise linear expected returns, and the piecewise quadratic variances. The final chapter illustrates infinitely many implied risk returns for certain market portfolios. Drawing on the author's experiences in the academic world and as a consultant to many financial institutions, this text provides a hands-on foundation in portfolio optimization. Although the author clearly describes how to implement each technique by hand, he includes several MATLAB (R) programs designed to implement the methods and offers these programs on the accompanying CD-ROM. Portfolio management Mathematics Investments Stocks Investment analysis Portfolio management Mathematical optimization Gestion de portefeuille ; Mathématiques Investissements Actions (Titres de société) Analyse financière Gestion de portefeuille Optimisation mathématique Portfolio management ; Mathematics O'Reilly for Higher Education (Firm), MitwirkendeR ctb Safari, an O'Reilly Media Company. MitwirkendeR ctb 9781420085846 Erscheint auch als Druck-Ausgabe 9781420085846 |
| spellingShingle | Best, Michael Portfolio Optimization Portfolio management Mathematics Investments Stocks Investment analysis Portfolio management Mathematical optimization Gestion de portefeuille ; Mathématiques Investissements Actions (Titres de société) Analyse financière Gestion de portefeuille Optimisation mathématique Portfolio management ; Mathematics |
| title | Portfolio Optimization |
| title_auth | Portfolio Optimization |
| title_exact_search | Portfolio Optimization |
| title_full | Portfolio Optimization Best, Michael |
| title_fullStr | Portfolio Optimization Best, Michael |
| title_full_unstemmed | Portfolio Optimization Best, Michael |
| title_short | Portfolio Optimization |
| title_sort | portfolio optimization |
| topic | Portfolio management Mathematics Investments Stocks Investment analysis Portfolio management Mathematical optimization Gestion de portefeuille ; Mathématiques Investissements Actions (Titres de société) Analyse financière Gestion de portefeuille Optimisation mathématique Portfolio management ; Mathematics |
| topic_facet | Portfolio management Mathematics Investments Stocks Investment analysis Portfolio management Mathematical optimization Gestion de portefeuille ; Mathématiques Investissements Actions (Titres de société) Analyse financière Gestion de portefeuille Optimisation mathématique Portfolio management ; Mathematics |
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