Portfolio optimization
著者
書誌事項
Portfolio optimization
（Chapman & Hall/CRC finance series）（A Chapman & Hall book）
CRC Press, c2010
- : hardback
並立書誌 全1件
-
-
Portfolio optimization / Michael J. Best
BB03796574
-
Portfolio optimization / Michael J. Best
大学図書館所蔵 件 / 全1件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references (p. 217-219) and index
内容説明・目次
内容説明
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 (R) programs designed to implement the methods and offers these programs on the accompanying downloadable resources.
目次
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.
「Nielsen BookData」 より