Screen LibraryPortfolio optimization
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| Main Authors: | |
|---|---|
| Published: |
Chapman & Hall/CRC,
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| Publisher Address: | Boca Raton |
| Publication Dates: | c2010. |
| Literature type: | Book |
| Language: | English |
| Series: |
Chapman & Hall/CRC finance series |
| Subjects: | |
| Carrier Form: | xiii, 222 p.: ill. ; 25 cm. +1 CD-ROM (4 3/4 in.). |
| ISBN: |
9781420085846 (hardcover : alk. paper) 1420085840 (hardcover : alk. paper) |
| Index Number: | F830 |
| CLC: | F830.91 |
| Call Number: | F830.91/B561 |
| Contents: |
Includes bibliographical references and index. 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 constraints -- Determination of the entire efficient frontier -- Sharpe ratios under constraints and kinks. |