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Portfolio optimization / Michael J. Best.

By: Material type: TextSeries: Chapman & Hall/CRC finance seriesPublication details: Boca Raton : Chapman & Hall/CRC, c2010.Description: xiii, 222 p. : ill. ; 25 cmISBN:
  • 9781420085846
Subject(s): DDC classification:
  • 332.632042 22 BES
Contents:
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.
Item type: Books-General
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Current library Collection Call number Status Barcode
UMI Main Library 332.632042 BES (Browse shelf(Opens below)) Available 2013-1164
UMI Main Library Seen During Stock-taking 332.632042 BES (Browse shelf(Opens below)) Available 2013-1070
UMI Main Library Seen During Stock-taking 332.632042 BES (Browse shelf(Opens below)) Available 2013-1069
UMI Main Library Seen During Stock-taking 332.632042 BES (Browse shelf(Opens below)) Available 2013-1067
UMI Main Library Seen During Stock-taking 332.632042 BES (Browse shelf(Opens below)) Available 2013-1068
UMI Main Library Seen During Stock-taking 332.632042 BES (Browse shelf(Opens below)) Available 2013-1066

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.

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