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Portfolio optimization / Michael J. Best.

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Author/Creator:
Best, Michael J.
Language:
English.
Publication date:
2010
Imprint:
Boca Raton : Chapman & Hall/CRC, c2010.
Format:
  • Book
  • xiii, 222 p. : ill. ; 25 cm. + 1 CD-ROM (4 3/4 in.).
Bibliography:
Includes bibliographical references and index.
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.
Series:
Chapman & Hall/CRC finance series.
Subjects:
ISBN:
9781420085846
1420085840

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