March 2010
Intermediate to advanced
238 pages
5h 59m
English
Content preview from Portfolio Optimization
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Index
active constraint, 14, 97
budget constraint, 22
Capital Asset Pricing Model, 41
capital market line (CML), 41
CML
alternate form, 45
continuity property, 48
equation, 44
market portf olio, 44
numerical example, 49
optimality conditions, 42
risk free holdings, 42
risky asset holdings, 42
tangent property, 48
covariance matrix, 21
efficient frontier, 21
coefficients, 25
derivation, 24
efficient portfolios, 24
equation of, 26
inefficient portfo lios, 27
mean−standard deviation space,
28
numerical example, 29
efficient fr ontier, constrained, 139
coefficients, 156
corner port folios, 158
derivation, 151
efficient portfolios, 155
equation of, 156
full characterization, 157
numerical example, 140
slope, 157
efficient portfolio
expected return-efficient, 23
parametric-efficient, 23
va r ia nce-efficien ...
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