MATLAB & Simulink 関連書籍
Designed for a first course in Markowitz Mean-Variance portfolio optimization, this book shows how the mathematical tools of linear algebra and optimization can formulate important ideas on the subject. The book extends the concepts of the Markowitz "budget constraint only" model to a linearly constrained model. Topics include optimization, the efficient frontier, the capital asset pricing model, and portfolio optimization with linear inequality constraints.
MATLAB is used to solve numerous application examples.
In addition, a set of MATLAB code files is available on a CD bound in the book.