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Best, Michael J.

Portfolio optimization / Michael J. Best. - Boca Raton, FL : Chapman & Hall/CRC, 2010. - xiii, 222 p. : ill. ; 25 cm. + 1 CD-ROM (4 3/4 in.). - Chapman & Hall/CRC finance series. .

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.

ISBN: 9781420085846 (hardcover : alk. paper) 1420085840 (hardcover : alk. paper)

Subjects--Topical Terms:
Portfolio management.
Investment analysis.
Stocks.
Investments.

LC Class. No.: HG4529.5 / B515

Dewey Class. No.: 332.632042 / B515