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portfolio optimization

Portfolio Optimization

Designed for a first course in Markowitz Mean-Variance portfolio optimization, this book shows how the mathematical tools of linear algebra and optimization can formulate important ideas on the subject. The book extends the concepts of the Markowitz "budget constraint only" model to a linearly constrained model. Topics include optimization, the efficient frontier, the capital asset pricing model, and portfolio optimization with linear inequality constraints.

MATLAB is used to solve numerous application examples.

Companion software available

In addition, a set of MATLAB code files is available on a CD bound in the book.

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About This Book

Michael J. Best, University of Waterloo

CRC Press, Inc., 2010

ISBN: 978-1-4200-8584-6
Language: English