Portfolio Optimization

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1.Optimization
1.1Quadratic Minimization
1.2Nonlinear Optimization
1.3Extreme Points
1.4Computer Results

2.The Efficient Frontier
2.1The Efficient Frontier
2.2Computer Results

3.The Capital Asset Pricing Model
3.1The Capital Market Line
3.2The Security Market Line
3.3Computer Results

4.Sharpe Ratios and Implied Risk-Free Returns
4.1Direct Derivation
4.2Optimization Derivation
4.3Free Solutions to Problems
4.4Computer Results

5.Quadratic Programming Geometry
5.1Geometry of Quadratic Programs (QPs)
5.2The Geometry of QP Optimality Conditions
5.3The Geometry of Quadratic Functions
5.4Optimality Conditions for QPs

6.A QP Solution Algorithm
6.1QPSolver: A QP Solution Algorithm
6.2Computer Results

7.Portfolio Optimization with
7.1Linear Inequality Constraints ：An Example
7.2The General Case
7.3Computer Results

8.Determination of the Entire Efficient Frontier PQPSolver: Generates
8.1the Entire Efficient Frontier
8.2Computer Results

9.Sharpe Ratios under Constraints and Kinks
9.1Sharpe Ratios under Constraints
9.2Kinks and Sharpe Ratios
9.3Computer Results

Appendix
References            
      
                                                                                                                                             

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关键词：Optimization Portfolio Portfoli ATION Optim

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