Portfolio optimization

Michael J. Best

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.

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Year of publication:	2010
Authors:	Best, Michael J.
Publisher:	Boca Raton : CRC Press,
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming

Extent:	1 online resource (xiii, 222 pages)
Series:	Chapman & Hall/CRC finance series
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references (pages 217-219) and index.
ISBN:	978-0-429-18479-6 ; 978-1-4200-8585-3 ; 978-1-4200-8584-6
Other identifiers:	10.1201/b17178 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10015069223