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...

Quadratic programming is a mathematical technique that allows for the optimization of a quadratic function in several variables. QP is a subset of Operations Research and is the next higher lever of sophistication than Linear Programming. It is a key mathematical tool in Portfolio Optimization and structural plasticity. This is useful in Civil Engineering as well as Statistics.