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Portfolio Optimization by Michael J. Best (2024, Trade Paperback)

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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.

About this product

Product Identifiers

PublisherCRC Press LLC

ISBN-101032925965

ISBN-139781032925967

eBay Product ID (ePID)6071460301

Product Key Features

Book TitlePortfolio Optimization

Number of Pages238 Pages

LanguageEnglish

TopicFinance / General, Operations Research, Applied

Publication Year2024

IllustratorYes

GenreMathematics, Technology & Engineering, Business & Economics

AuthorMichael J. Best

Book SeriesChapman and Hall/Crc Financial Mathematics Ser.

FormatTrade Paperback

Dimensions

Item Length9.2 in

Item Width6.1 in

Additional Product Features

Intended AudienceTrade

ReviewsMichael Best's book is the ideal combination of optimization and portfolio theory. Mike has provided a wealth of practical examples in MATLAB to give students hands-on portfolio optimization experience. The included stand-alone MATLAB code even provides its own quadratic solver, so that students do not need to rely on any external packages. --David Starer, Stevens Institute of Technology Overall, this is a nice book that would be ideal as a textbook for one-semester portfolio optimization courses. It can also be good as a supplementary text for courses in operations research and/or financial engineering. The book is self-contained enough to be used as study material for those who want to teach themselves portfolio optimization and related computer programming, be they advanced undergraduate students, graduate students, or financial practitioners. --Youngna Choi, Mathematical Reviews, Issue 2012a ... an excellent companion text for the course 'Discrete-Time Models in Finance' that I have been teaching in the past years. ... I think adding your text can make the course more lively. This is what I plan to do in the coming (fall) semester. --Edward P. Kao, University of Houston, Texas, USA

Dewey Edition22

Dewey Decimal332.63/2042

SynopsisEschewing 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., 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. It explains