March 2010
Intermediate to advanced
238 pages
5h 59m
English
Content preview from Portfolio Optimization
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Preface
This book is designed as a first course in Markowitz Mean-Variance
portfolio optimization. The sole prerequisite is elementary linear al-
gebra: linear independence, matrix vector operations and inverse ma-
trices. The presentation is quantitative and all material is developed
precisely and concisely. Part of the author’s motivation in writing this
book was his realization that the mathematical tools of linear algebra
and optimization can be used to formulate and present the key ideas
of the subject very quickly and cleanly. A unique feature of the boo k
is that it extends the key ideas of the Markowitz “budget constraint
only” model to a model having linear inequality constraints. The lin-
early constrained model is what practitioners insist ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.