Portfolio Optimization (Hardcover)

OptimizationQuadratic MinimizationNonlinear OptimizationExtreme PointsComputer Results The Efficient FrontierThe Efficient FrontierComputer Results The Capital Asset Pricing ModelThe Capital Market LineThe Security Market LineComputer Results Sharpe Ratios and Implied Risk-Free ReturnsDirect DerivationOptimization DerivationFree Solutions to ProblemsComputer Results Quadratic Programming GeometryGeometry of Quadratic Programs (QPs)The Geometry of QP Optimality ConditionsThe Geometry of Quadratic FunctionsOptimality Conditions for QPs A QP Solution AlgorithmQPSolver: A QP Solution AlgorithmComputer Results Portfolio Optimization with Linear Inequality ConstraintsAn ExampleThe General CaseComputer Results Determination of the Entire Efficient FrontierPQPSolver: Generates the Entire Efficient FrontierComputer Results Sharpe Ratios under Constraints and KinksSharpe Ratios under ConstraintsKinks and Sharpe RatiosComputer Results Appendix References Exercises appear at the end of each chapter.