Portfolio optimization
By: Michael J. Best.
Series: Chapman & Hall/CRC finance series
Publisher: Chapman & Hall/CRC
Published: 2010
Place of publication: Boca Raton
Language: eng
ISBN-13: 9781420085846
Subjects: Portfolio management; Investment analysis; Stocks; Investments
Notes: Includes bibliographical references and index.
Table of contents: title: Optimization; title: The e±cient frontier; title: The capital asset pricing model; title: Sharpe ratios and implied risk free returns; title: Quadratic programming geometry; title: A QP solution algorithm; title: Portfolio optimization with linear inequality constraints; title: Determination of the entire e±cient frontier; title: Sharpe ratios under constraints and kinks.