Nonlinear optimization applied to the portfolio theory
Abstract
The nonlinear mathematical programming has great applications in the field of portfolio theory as well, and one of the most important articles of finance, that is Portfolio Selection by Harry Markovitz, originally enlightened this fact. The investors buy financial assets trying to maximize their expected utility, minimizing the risk of loosing money, taken when they invest in a certain basket of financial and nonfinancial assets (stocks, corporate bonds, government bonds, mutual funds, real estate, commodities, private equity, etc.). The way the portfolio choices are modeled in the finance theory is similar to the consumer optimization under many respects. The best ...
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