Taylor & Francis Best, M: Portfolio Optimization

Eschewing a more theoretical approach, this text provides a practical introduction to basic portfolio optimization models. It focuses on Markowitz mean-variance portfolio optimization. The first chapters include coverage on the derivation of the classical unconstrained efficient frontier, the capital market line, Sharpe ratios, and implied risk-free rates. The author then discusses quadratic and parametric quadratic programming, which is used to implement the theory in practice. MATLABA(R) is included throughout the text in various realistic examples and then employed in the presented problem sets to help with calculations.