Bartholomew-Biggs, Michael
Nonlinear Optimization with Financial Applications
1. Portfolio Optimization
2. One-Variable Optimization
3. Optimal Portfolios with
4. Unconstrained Optimization in
5. The Steepest Descent Method
6. The Newton Method
7. Quasi-Newton Methods
8. Conjugate Gradient Methods
9. Optimal Portfolios with Restrictions
10. Larger-Scale Portfolios
11. Data-Fitting & The Gauss-Newton Method
12. Equality Constrained Optimization
13. Linear Equality Constraints
14. Penalty Function Methods
15. Sequential Quadratic Programming
16. Further Portfolio Problems
17. Inequality Constrained Optimization
18. Extending Equality-Constraint Methods to Inequalities
19. Barrier Function Methods
20. Interior Point Methods
21. Data Fitting Using Inequality Constraints
22. Portfolio Re-Balancing and other Problems
23. Global Unconstrained Optimization
DRM-restrictions
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Keywords: MATHEMATICS / General MAT000000
- Author(s)
- Bartholomew-Biggs, Michael
- Publisher
- Springer
- Publication year
- 2005
- Language
- en
- Edition
- 1
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9780387241494