Geeta Menon

Publication Date

1990

Document Type

Dissertation/Thesis

First Advisor

Datta, Karabi

Degree Name

M.S. (Master of Science)

Legacy Department

Department of Mathematical Sciences

LCSH

Programming (Mathematics); Portfolio management--Mathematics

Abstract

This is an expository study of mathematical programming methods used in portfolio analysis. The emphasis is on methods used in the Mean Variance Portfolio Theory that was promulgated by Harry Markowitz for the first time in 1956. Parametric quadratic programming techniques that are widely used to solve the optimization problems in these models have been treated at length. Other mathematical programming models, the algorithms to solve them, and certain properties of the efficient frontier that are of mathematical interest have also been considered. A brief mention has been made of expected utility analysis and portfolio selection models that do not require mathematical programming methods for their solution.

Comments

Includes bibliographical references (pages 89-98)

Extent

v, 114 pages

Language

eng

Publisher

Northern Illinois University

Rights Statement

In Copyright

Rights Statement 2

NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.

Media Type

Text

Download

Share

COinS