Nonlinear optimization with financial applications [electronic resource] / Michael Bartholomew-Biggs

Author:: Bartholomew-Biggs, Michael C.
Published:: Boston : Kluwer, [2005]
Copyright Date:: ©2005
Physical Description:: 1 volume
Additional Creators:: SpringerLink (Online service)

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Online version: ezaccess.libraries.psu.edu

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Contents:

Portfolio Optimization -- One-Variable Optimization -- Optimal Portfolios with Assets -- Unconstrained Optimization in Variables -- The Steepest Descent Method -- The Newton Method -- Quasi-Newton Methods -- Conjugate Gradient Methods -- Optimal Portfolios with Restrictions -- Larger-Scale Portfolios -- Data-Fitting & The Gauss-Newton Method -- Equality Constrained Optimization -- Linear Equality Constraints -- Penalty Function Methods -- Sequential Quadratic Programming -- Further Portfolio Problems -- Inequality Constrained Optimization -- Extending Equality-Constraint Methods to Inequalities -- Barrier Function Methods -- Interior Point Methods -- Data Fitting Using Inequality Constraints -- Portfolio Re-Balancing and other Problems -- Global Unconstrained Optimization

Subject(s):

ISBN:

9780387241494

Note:

Description based on print version record.
AVAILABLE ONLINE TO AUTHORIZED PSU USERS.

Bibliography Note:

Includes bibliographical references (pages [255]-258) and index.

Reproduction Note:

Electronic reproduction. Berlin : Springer, 2005. Mode of access: World Wide Web. Available via SpringerLink.

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