Portfolio Optimization

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 Linear Inequality Constraints. Determination of the Entire Efficient Frontier. Sharpe Ratios under Constraints and Kinks. Appendix. References.

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• Matemática aplicada
• Ciência ambiental, engenharia e tecnologia
• Economia
• Finanças e contabilidade
• Engenharia: geral
• Design de produtos

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