Portfolio Optimization

ISBN-13: 9781420085846 / Angielski / Twarda / 2010 / 238 str.

Michael J. Best

Opis

Eschewing a more theoretical approach, this text provides a practical introduction to basic portfolio optimization models. It focuses on Markowitz mean-variance portfolio optimization. The first chapters include coverage on the derivation of the classical unconstrained efficient frontier, the capital market line, Sharpe ratios, and implied risk-free rates. The author then discusses quadratic and parametric quadratic programming, which is used to implement the theory in practice. MATLABA(R) is included throughout the text in various realistic examples and then employed in the presented problem sets to help with calculations.

Spis treści

Optimization. The Efficient Frontier. The Capital Asset Pricing Model. Sharpe Ratios and Implied Risk-Free Returns. Quadratic Programming Geometry. A QP Solution Algorithm. Portfolio Optimization with Linear Inequality Constraints. Determination of the Entire Efficient Frontier. Sharpe Ratios under Constraints and Kinks. Appendix. References.

O autorze

Michael J. Best is a professor in the Department of Combinatorics and Optimization at the University of Waterloo in Ontario, Canada. He received his Ph.D. from the Department of Industrial Engineering and Operations Research at the University of California, Berkeley. Dr. Best has authored over 37 papers on finance and nonlinear programming and co-authored a textbook on linear programming. He also has been a consultant to Bank of America, Ibbotson Associates, Montgomery Assets Management, Deutsche Bank, Toronto Dominion Bank, and Black Rock-Merrill Lynch.