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.
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Portfolio optimization by Michael J. Best. ISBN 9781420085846. Published by Chapman & Hall in 2010. Publication and catalogue information, links to buy online and reader comments.
