Portfolio Optimization (Hardcover)


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 programs designed to implement the methods and offers these programs on the accompanying CD-ROM.


R2,893

Or split into 4x interest-free payments of 25% on orders over R50
Learn more

Discovery Miles28930
Mobicred@R271pm x 12* Mobicred Info
Free Delivery
Delivery AdviceShips in 12 - 17 working days


Toggle WishListAdd to wish list
Review this Item

Product Description

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 programs designed to implement the methods and offers these programs on the accompanying CD-ROM.

Customer Reviews

No reviews or ratings yet - be the first to create one!

Product Details

General

Imprint

Chapman & Hall/CRC

Country of origin

United States

Series

Chapman and Hall/CRC Financial Mathematics Series

Release date

March 2010

Availability

Expected to ship within 12 - 17 working days

First published

2010

Authors

Dimensions

234 x 156 x 19mm (L x W x T)

Format

Hardcover

Pages

238

ISBN-13

978-1-4200-8584-6

Barcode

9781420085846

Categories

LSN

1-4200-8584-0



Trending On Loot