2005

Nonlinear Optimization with Financial Applications

Authors:

ISBN: 978-1-4020-8110-1 (Print) 978-0-387-24149-4 (Online)

Table of contents (23 chapters)

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  1. No Access

    Book Chapter

    Pages 1-18

    Portfolio Optimization

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    Book Chapter

    Pages 19-32

    One-Variable Optimization

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    Book Chapter

    Pages 33-40

    Optimal Portfolios with N Assets

  4. No Access

    Book Chapter

    Pages 41-50

    Unconstrained Optimization in N Variables

  5. No Access

    Book Chapter

    Pages 51-64

    The Steepest Descent Method

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    Book Chapter

    Pages 65-76

    The Newton Method

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    Book Chapter

    Pages 77-86

    Quasi-Newton Methods

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    Book Chapter

    Pages 87-96

    Conjugate Gradient Methods

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    Book Chapter

    Pages 97-106

    Optimal Portfolios with Restrictions

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    Book Chapter

    Pages 107-116

    Larger-Scale Portfolios

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    Book Chapter

    Pages 117-130

    Data-Fitting & The Gauss-Newton Method

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    Book Chapter

    Pages 131-138

    Equality Constrained Optimization

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    Book Chapter

    Pages 139-150

    Linear Equality Constraints

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    Book Chapter

    Pages 151-164

    Penalty Function Methods

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    Book Chapter

    Pages 165-178

    Sequential Quadratic Programming

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    Book Chapter

    Pages 179-186

    Further Portfolio Problems

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    Book Chapter

    Pages 187-196

    Inequality Constrained Optimization

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    Book Chapter

    Pages 197-210

    Extending Equality-Constraint Methods to Inequalities

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    Book Chapter

    Pages 211-218

    Barrier Function Methods

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    Book Chapter

    Pages 219-226

    Interior Point Methods

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