I am looking for some literature devoted to optimization methods in finance (portfolio optimization, asset pricing etc).
Could you please recommend some books (perhaps, essentially non elementary: I have a master's degree in applied mathematics)?
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Sign up to join this communitySome suggestions:-
Original 1970 paper An analytic derivation of the efficient portfolio frontier by Merton, Robert C
Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques
I used Optimisation Methods in Finance, it covers:
I haven't come across another book with such coverage or wider yet, although I've not been actively looking though.
I really like a lot Introduction to Risk Parity and Budgeting, by Thierry Roncalli. It covers a lot of aspect of portfolio construction, including portfolios of bonds, and provides a focus on risk management.
The Table of Contents is
Part I. From Portfolio Optimization to Risk Parity
Part II. Applications of the Risk Parity Approach
Appendix
A. Technical Appendix
B. Tutorial Exercises